Today, September 29th, the Messenger spacecraft will approach to within 142 miles (about 229 km) of the surface of Mercury. That's damn close — closer than many satellites are to Earth's surface.
Using the freeware Celestia, I created this image of what Mercury and the Sun would look like at a distance of 3000 kilometers, much further away than Messenger will be. The Sun looks a lot bigger there. Mercury is just 58 million km from the Sun, as opposed to Earth's 150 million km.
Further down, check out the comparison of how the Sun looks here on Earth with how it looks on Mercury (courtesy of messenger-education.org or here too). Click on the images to see full-size.