The idea of a vaccine, in itself, is not dangerous. There have been many diseases that have been eradicated or nearly eradicated thanks to them.
The mercury compound you are talking about is called Thiomersal. It isn't elemental mercury and it has other properties that make it ideal as an antiseptic, but it is still a (highly toxic) mercury compound, and that in itself warrants caution. There have been studies linking Thiomersal to autism, and there have also been studies showing no such link. The truth is a bit hard to know - which studies do you trust?
there is no way to know exactly what is in vaccines for sure. Most websites that claim that there is something nasty in them make very little effort to provide any supporting evidence for their argument, outside of chemical names of alleged ingredients. Many stories of toxic vaccines come from the "alternative media" and can't seem to be traced to any reliable source. That said, there are also plenty of cases of genuine harm coming from vaccines, as is the case with ALL medicine.
For example, a simple tetanus vaccine MAY OR MAY NOT contain Formaldehyde (which is highly toxic and can cause cancer), Thiomersal (which is highly toxic and may or may not cause autism and other neurological disorders), and Aluminum hydroxide (which may or may not cause neurological damage), on top of the tetanus toxoid used to immunize the individual. The amounts of these ingredients apparently varies between batches and between manufacturers, and there is no real way to know for sure what you are getting.
There is also the possibility of a live virus being included in the vaccine. While this practice has been used since the dawn of vaccination and is generally considered safe, (the name "vaccine" comes from vacca, Latin for "cow", in recognition of the cowpox virus first used to inoculate against smallpox) there have also been plenty of cases of live virus vaccines simply infecting people rather than inoculating them.
Due to the fact that there is really no way to tell what is in them, I personally will be passing on vaccines altogether... but I have never placed much trust in modern pharmaceuticals to begin with.