Mercury.

Mercury is the smallest planet in our solar system (Sorry Pluto), and the closest plant to the Sun. If you want an idea of just how small it is, think of its comparison to the Earth.  The Earth has a diameter of 12,742 km, while Mercury is only 4879 km, a little over 1/3 of the Earth's size. Mercury's volume is only around 0.05 of the Earth's, but still extremely dense (Approximately 5.4 grams per cubic centimeter), which consists of mostly Iron and rock. Earth is the only other plant with a density higher than Mercury, therefore, if Mercury were the same size as Earth, it would be much denser. 

Mercury orbits the Sun every 88 days. Mercury's appearance is similar to the Moon's, but unlike the moon, it has a large iron core that generates a magnetic field around 1% as strong as the Earth's. It was named after the Roman god "Mercury", the god of commerce, travel and thievery. This was probably because Mercury moves across the nighttime sky so fast.