On the equator the sun could be directly overhead - so you have no idea what any directions are, the sun is equally far from all horizons. (Remember the sun does not move on mercury.)
If you are on the equator, but not directly under the sun then you can figure things out.
I guess I should have said equator on the central meridian.
Edit: I was under the mistaken assumption that Mercury is tidally locked.
So it would sort of work on the equator as well, but you might have to wait a bit for the sun to move enough to tell where you are.
The sun does move on Mercury. Mercury is not tidally locked- it has a 3:2 spin-orbit resonance. I.e., it rotates 3 times for every two times it goes around the sun. This means that the two sides of the planet alternate facing the sun at perihelion.
Interesting tidbit about Mercury's rotation: although it's clearly visible to the naked eye and thus has been known since before the dawn of recorded history, and has been observed through telescopes since telescopes were invented, the fact that it is not tidally locked has only been known since 1965.
It has lots of craters and such. I don't know what it looks like through an older telescope. According to Wikipedia, the problem was that because the rotation is in a resonance with its orbit, and because it's so close to the sun and thus can only be observed at certain times, it was always observed when in just one orientation.
If you are on the equator, but not directly under the sun then you can figure things out.
I guess I should have said equator on the central meridian.
Edit: I was under the mistaken assumption that Mercury is tidally locked.
So it would sort of work on the equator as well, but you might have to wait a bit for the sun to move enough to tell where you are.