In its classically sarcastic tone, the Midrash (Esther Rabbah 8:2) asks if there is such a thing as a mourning that is not great. After all, any mourning is painful. Naturally, after seven days, our personal mourning diminishes to some degree as we come to grips with the fact of the loss we are experiencing. In this case, however, the mourning only intensified as the Jews continued moving forward toward the day set for their annihilation. The Midrash adds that, in normal mourning, there is comfort in the fact that the deceased left someone behind. Here, again, nobody is expected to remain behind as Haman has decreed the deaths of women and children along with everyone else.
Rav Henoch Leibowitz cites a story in the Talmud (Brachos 60a) in which Rebbe Yishmael calls a student a sinner merely because the student was agitated. The only thing about which a person should be nervous is if that person performed enough good deeds. A person nervous about anything else is simply not living – constantly in the grips of fears and anxieties that prevent that person from enjoying the blessings of life. The Jews’ mourning here, too, is great in the sense of its quality. It was the fear of the righteous, the concern he felt if he had done enough good on his level. They were mourning for the right reasons, and that is why the verse calls their mourning “great.”