Uh!!! I see many people saying that the man in the church and the man that Jane hunts is not the same... and that Red John would never ask for mercy...!!!
OK OK... Red John is not afraid for his life he is afraid of dieing and losing the credit for his precious work... Imagine Bertram taking the credit for Red John;s work!!!
That's his worst nightmare he can't stand dieing and losing the credit for his work that's why he is asking for mercy, because Jane shot him and told him that none else will find out his true ID. That's what Red John is afraid of, that's his true nightmare and its Jane's gift to him.
PS: That's not my theory although  I agree 100% with that, I remember reading it in this site some wees ago.