There are several arguments which favour Mars over Mercury as a candidate for human missions.
Getting there and coming home
As the question and other answers have highlighted, the delta-v for transferring to Mercury is significantly higher than required for transferring to Mars. This will translate to monumentally higher propellant and launch costs for the outbound transfer.
Coming home is also a problem. Using in-situ resources to manufacture propellant can in theory greatly reduce overall mission launch costs. The greatest advantage in terms of launch mass saving will typically come if you are able to produce all the return propellant in-situ. Returning from Mercury will require more propellant than to return from Mars. This means the scale of any ISRU propellant production from indigenous resources will also have to be scaled up in size. This means MORE hardware that needs to be transported to the surface of Mercury, and hence more propellant for the outbound trip still etc.
There are always solutions to reduce transit delta-v with alternative transfer strategies, but this almost always comes at the cost of increasing transfer time. This is not currently a viable solution for human missions as minimizing time in the micro-gravity is a primary concern. BepiColombo will take around 9 years just to reach Mercury. This is an about an order of magnitude of the combined outbound and return transfer time needed for a Mars mission if short (type-I/II) transfers are used.
Surviving the local environment
The surface environment of Mercury is a lot more hazardous to life than that of Mars.
Mercury is much closer to the Sun compared to Mars and will receive approximately 14x greater solar flux. This would be good for powering operations with solar arrays, but this might be outweighed by the complexity of the thermal control systems needed to keep all hardware in acceptable temperature ranges. Thermal control on EVA suits would similarly be challenging, which might limit what crew can do on the surface of Mercury. If this is not a showstopper it would certainly be a large issue to address.
The proximity to the Sun and the lack of any discernible atmosphere on Mercury would also make the radiation environment significantly more hazardous than that of Mars. Again, there would be ways to mitigate this, but this would come at the added cost of additional hardware, systems and design complexity.
Using local resources
Accessing and using water-ice on either Mercury and Mars will be challenging due to the location and complexity of accessing the resource (i.e. in polar shadowed craters or buried beneath the surface). These resources are not necessarily ubiquitous, so the location of the resources may dictate where a colonization site is established. The jury is out whether the first human missions to Mars will need to be reliant on water-ice ISRU operations, colonization would likely need to take this into account.
However, Mars has another indigenous resource which is much more accessible than water-ice, simpler to acquire, and would not dictate where on the planet you need to land – the atmosphere, composed primarily of Carbon Dioxide. This can be used in a variety of different ISRU processes including the production of oxygen for life support systems and oxidizer for return propellant. This is an advantage for Mars over Mercury if considering the scope of local resources for first crewed missions.
Communicating with home
Mars goes into superior conjunction with Earth every two years. During this time, Mars and the Earth are on opposite sides of the Sun and direct communication is not possible. This period of conjunction can last 1-2 months, depending on the frequency band of communications used.
This presents a challenge for human Mars mission design. It is operationally hazardous to go for such a long period of time without crew on Mars being able to communicate with ground support on the Earth. It could be possible however to design missions such that the surface stay occurs outside of periods of conjunction.
Mercury is much closer to the Sun and therefore completes and orbit in much less time, about 88 days. These conjunction events between the Earth and Mercury will therefore happen much more frequently (though, likely for less duration). This means there will be frequent periods of time when communication will be lost.
In both cases this could in theory be remedied by establishing communications relay spacecraft in suitable Lagrange points. This might be essential for the first human missions to the surface of Mercury, but not necessarily for the first human Missions to Mars.
What will humans do on the surface?
Mars is scientifically compelling. We know Mars once hosted a much more habitable environment. It was once much more like Earth than it is today, and it is one of the important destinations for searching for life in our solar system.
There is a compelling argument for sending humans to Mars; they would be able to advance our exploration and scientific inquires at a much greater rate than if we rely on robotic spacecraft alone. Simply put, humans can do a lot more than robots.
I am unsure if the same argument for sending humans to Mercury is as compelling. The extreme temperatures and radiation environment imply that Mercury is an unlikely home to life. This may deter some stakeholders from investing in human missions to Mercury when Mars is already on the table.