Proxima B is a great candidate for containing life due to its similar mass to the Earth, the possibility of liquid water, and its proximity to its host star, Proxima Centauri.
No, life as we know it cannot exist on Saturn due to extreme temperatures, pressures, and lack of a surface. Saturn's moons have been found to be highly hospitable for life to exist.
No, life as we know it would not be able to survive on Mercury due to extreme temperature fluctuations, proximity to the Sun, and being void of an atmosphere.