Mercy not Sacrifice

I have been reading in Matthew recently and I have really enjoyed it. I relate to Matthew because he presents things logically. Everytime something happens, he says, "this is what the scriptures meant when they said [insert prophecy from OT]". He wants the reader to understand the degree to which God keeps his promises and how everything has a meaning.

Unfortunately my buddy Matt isn't so great at pointing out references to Old Testament scripture. I guess it was assumed we would know it? That's why I'm thankful for things like BibleGateway. I guess I should start over because I'm getting ahead of myself. In Matthew 9, when Jesus called Matthew, the pharisees asked why Jesus was eating with tax collectors and sinners. Of course they didn't have the guts to ask Jesus themselves. No they went and asked his disciples, but that's another issue. Anyway, Jesus responds by saying, "It is not the healthy who need a doctor, but the sick. 13But go and learn what this means: 'I desire mercy, not sacrifice.' For I have not come to call the righteous, but sinners."

Mercy, not sacrifice? Interesting....

I didn't think much of it, but then it showed up again in Matthew 12. Jesus and his disciples were walking through a field on the Sabbath. The disciples got hungry so they picked some grain to eat. Big deal. The pharisees got mad and made a big fuss about how that was unlawful on the Sabbath. Always having the best comebacks:
3He answered, "Haven't you read what David did when he and his companions were hungry? 4He entered the house of God, and he and his companions ate the consecrated bread—which was not lawful for them to do, but only for the priests. 5Or haven't you read in the Law that on the Sabbath the priests in the temple desecrate the day and yet are innocent? 6I tell you that one greater than the temple is here. 7If you had known what these words mean, 'I desire mercy, not sacrifice,' you would not have condemned the innocent. 8For the Son of Man is Lord of the Sabbath."

I'm thinking " Ooooooh! Pharisees got toooold!". But wait a second.... 'I desire mercy, not sacrifice,' There it was again. So I got on BibleGateway and searched "mercy not sacrifice".
You may have figured it out already, but the first time it's said is in Hosea chapter 6. Hosea is rebuking the people of Israel. They were doing the sacrifices and things that the law required but their heart wasn't in it. They couldn't care less what God wanted them to do, they just did whatever they felt like and then sacrificed so they weren't punished. But God doesn't care about the sacrifice if we aren't actually concerned with following His will.

Unfortunately, I still don't get the mercy thing. I mean God is merciful towards us for sure. But I looked up the definition of mercy just to make sure I wasn't missing something. It's all compassion, favor, kindness and benevolence. Not something coming from the heart of a sinner. I would understand if He wanted "true brokenness not sacrifice", but mercy? If you have some insight please share.