I, like many, purchased the Merkur HD after all the reviews on how it was a great starter DE razor. For three months I thought I'd never be able to shave. I sucked at it, couldn't seem to get a decent shave and was almost ready to go back to cartridges. Then on a whim I bought a 1954 Gillette SuperSpeed, loaded it with an Israeli Personna blade (Both purchased on Ebay). Best shave ever.. For me that combo is darn near perfect, easier than a cartridge and a nice close shave. I love the superspeeds, if you want to try out DE shaving, give those a close look. Plus you can find 'em cheap on Ebay. Pick up a 100 pack of either Derby Blades or Israeli made Personna's and you are probably under $35 bucks. Then go to Target and pick up some Proraso soap and and brush and you're set!
Remember, you don't have to push down with a DE like your do with a cartridge... just a light touch will do.