Mail merge is one of the things that messes people up. It can be complicated, but I’ve found that following or using the built-in mail merge wizard alleviates much of the headache.
There is an online service that also allows an online mail merge. Avery.com allows you to create a “mail merged” PDF of whatever you want based on the Avery templates. It’s just about the simplest way I’ve found to do a mail merge for certain things.