A devotee is always begging the Lord for His mercy.
Krishna does not agree to award devotional service to merely anyone. Krishna can easily offer a person material happiness or even liberation, but He does not agree very easily to award a person engagement in his devotional service. Devotional service can in fact be attained only through the mercy of a pure devotee. — The Nectar of Devotion, Page 14.
Out of many millions of wandering living entities, one who is very fortunate gets an opportunity to associate with a bonafide spiritual master by the grace of Krishna. By the mercy of both Krishna and the spiritual masters, such a person receives the seed of the creeper of devotional service.
The Lord is always worthy to be the master of the surrendered soul, for He is the ocean of mercy.
Srimad Bhagavatam 4.8.46,
Once Srila Prabhupada was teaching, how to appreciate the mercy of Lord Gaura Nitai. The mercy is so great that even the rocks melt, even the birds and the animals they crying in separation. After hearing all the philosophy and after everything is explained, of course one can theoretically understand, but still, to really understand, what is love of Krishna? One has to taste it. One can explain what is mango? its, Vitamin-C content, fat content, protein content, carbohydrate content, this vitamin, that vitamin, this fibre, this type of skin, this thickness of skin, this colour, you can get all the details but even you can say this much sugar content this everything, but still it doesn't tell you how it taste like? If you taste it, then you will get another level of understanding what it the mango. What is devotional service has been explained by Rupa Goswami here in Caitanya Caritamrita, but to really understand we need to taste it, even a drop of it and that is possible only by the mercy of Gaura-Nitai because they are so much absorbed in love of Krishna.