J-rock bands are often too stiff when it comes to stylistic experimentation, but that sure doesn't apply to Merry. The group mixes rock & roll, punk, blues and jazz, calling it "retrock" (retro-rock), has an interest in avant-garde of the interwar period, allows itself to go political in the lyrics (unlike many Japanese bands), and still does it all in a way that commands commercial success. Their skill doesn't come from nowhere: founders Gara (vocals) and Yuu (guitars) both had previous band experience, and Gara used to be a roadie for Dir en Grey as well. Merry began in 2001, when their previous bands folded, and the two men established a new project with the bassist Tetsu, drummer Nero and another guitarist Kenichi on board. The group debuted in an oddball way, throwing a set of "secret gigs" in Tokyo and Nagoya, although they reverted to more conditional live performances by 2002, which also saw the release of three maxi-singles, two of them illustrated by the scandalous erotic artist Suehiro Maruo, a favorite of John Zorn's.
Merry first full album Gendai Stoic was out in 2003. The disc was released through Fullface Records, the label of Kiyoharu, the leader of SADS, and sold out during the pre-orders. In subsequent tours of 2003 the band had a chance to share the stage with MUCC, Miyavi and SADS. In 2004 Merry recorded their second LP, the politically conscious Modern Garde (portmanteau for "modern avant-garde"), which made the Victor Entertainment label interested in the band, signing them in 2005. Merry's last indie release Sakashima end roll ~the phantom of the gallery~ (2005) was something of a technological curiosity at the time — a maxi-single/DVD dual disc, — but that didn't prevent it from scoring number two on the indie charts, paving the way for their first major album Nu Chemical Rhetoric (2005), which entered the Oricon daily charts at number one a day prior to its release. The CD was released in continental Europe and Scandinavia in 2006, just as the band's second major album Peep Show, came out the same year. The album was supported by a nationwide tour and an overseas debut, with Merry playing in Berlin and Paris. More touring followed in 2007, including some shows with the Japanese horror-punks Balzac, as well as a stint at the J-Rock Revolution fest in Los Angeles. Merry's third major album M.E.R.R.Y. was out in 2007, too (and charted at number 15 on the Oricon weekly charts).