How about a giant sun shield? Park it at the Mercury-Sun lagrange. I was reading this about MESSENGER and the idea popped into my head. (bold added):

Mercury's proximity to the Sun makes it both a fascinating subject and an unprecedented mission design challenge. The Sun can be up to 11 times brighter than what we see on Earth and surface temperatures at Mercury's equator can reach 450 degrees Celsius (about 840 degrees Fahrenheit), but MESSENGER will operate at room temperature behind a sunshade of heat-resistant ceramic fabric. The 1.2-ton spacecraft also features a heat-radiation system and will pass only briefly over Mercury's hottest regions, limiting exposure to the intense heat bouncing back from the broiling surface.

Why not a very large heat resistant sunshade for the planet? The trick is to make it so it doesn't shield out all the sun. Just enough to make the sun facing side of Mercury the same temperture and brightness as Earth. I'm sure someone somewhere has thought of this and drawn something up?