Yes. All mass generates gravity. Mercury isn't very large, however, and so it doesn't generate a lot of gravitational force. Mercury's gravity is about 38% that of Earth, which is still about twice...
The gravity of Mercury is 3.7 m/s² or 0.38 g
For comparison, the gravity of Earth is 9.780327 m/s² or 0.99732 g
This means that if you weighed 100lb on Earth, you would weigh 37.8lb on Mercury
Yes. The pressure of the atmosphere of the planet (Jupiter) would crush you while you fell into it. This pressure is directly related to the gravity of the planet.