The interesting point is that the side that is experiencing 29 days of darkness has some of the coldest temperatures in the solar system. This means that it is not so much how far you are from the sun, but how long you are exposed to the light, and what substances around you retain heat. Of these two, the length of exposure is the much more important.

An interesting side point is that Mercury was associated with speed by the ancient Greeks for its speedy trip around the sun. But if life (as we know it) did exist on Mercury, it would have to be an ever-moving life form, constantly having to stay in the twilight, living in perpetual dawn or sunset, not being able to slow down (or speed up for that matter) or else face the harsh extremes. Such a life form would have to be, like Mercury itself, pretty quick-footed.