Mercury would be hard to terraform but, not as hard as Venus. Mercury would require some sort of radiation shielding from the Sun, for its own magnetic field would not be enough. Building underground habitats may supply an answer to this problem. Due to its proximity to the sun, the new atmosphere would have to be rich in nitrogen and a cooling unit (such as solar shades) surrounding it. The nitrogen would come from Titan. Icy comets can be redirected to Mercury causing the low elevations to be flooded with water. Eventually, a supply of oxygen would be needed. A solar day on Mercury is equivalent to 176 Earth days, so its rotation period would have to be sped up in some way to stop the extreme temperatures of night and day. Some good attributes of Mercury is that its gravity is about the same as Mars' (0.38 G), it retains an internal dynamo, and has considerable stores of water-ice and organics in polar craters.
If the heat from the Sun proves to harsh to make full terraforming feasible, the other option would be building transparent, geodesic domes over the poles and terraforming them seperately (as proposed by wikipedia ).
Mercury and Venus could also be turned into a binary planet, which orbit each other; making it easier to terraform Mercury because of the low temperature.