If there is a Gray Merchant of Asphodel on the battlefield and a second Gray Merchant of Asphodel enters, do both cards trigger and opponent loses x life where x is devotion times 2, or does just the one card entering the battlefield trigger?
No, only the one entering the battlefield triggers.
Any time you see a card use its own name in its rules text, that means it is referring to the card that it is printed on; not other cards with the same name.
201.4. Text that refers to the object it's on by name means just that particular object and not any other objects with that name, regardless of any name changes caused by game effects.