The lack of an atmosphere means that there is no wind or rain on Mercury. The planet's surface is constantly bombarded by radiation from the Sun and cosmic rays, which can damage spacecraft and equipment.
Mercury does have a very thin exosphere, which is made up of helium, hydrogen, oxygen, and sodium atoms. These atoms are constantly escaping from the planet's atmosphere, and are replaced by atoms from the Sun's wind.
The weather on Mercury is a challenge for spacecraft, which must be able to withstand the extreme temperatures and radiation. The European Space Agency's BepiColombo mission is scheduled to launch in 2024 and arrive at Mercury in 2030. The mission will study the planet's surface, atmosphere, and magnetic field.