With bad guys, "Don't kill him" is usually a bad idea, whether you're saving them because of mercy, or revenge. It's better just to kill as quickly as possible, because you'll regret letting them live. Unless they have some sort of dead man's switch, and even then, the tradeoff might be worth it.
Mercy is nice in theory, but what it often does is just give you a lifelong enemy who will never give up on revenge.