In Romans 9, Paul begins wrestling with a thorny issue resulting from his theology: What about the unsaved (unrepentant Jews being his chief concern) who have not been included in God's grace?
You see the dilemma: After reading Romans 8 and its beautiful exploration of the riches of God's grace, we may naturally wonder about those who have not responded to God's offer of salvation in Jesus Christ. What about those excluded from the promise? What is their status? Why are some saved - and some not?
Paul begins with a confession - this topic causes him "great sorrow and unceasing anguish" (vs. 2). Many of us would agree!
In resolving this issue, Paul first seeks to define the terms: "Israel" is not necessarily Israel. In other words, true Israel isn't just genealogically descended from Abraham, but are really those who are children of the promise. Some are excluded, and some have excluded themselves. We enter here into the deep waters of human freedom and divine election.
The nub of the problem seems to be God's choosing of some to save and some to damn. ("Jacob I loved, but Esau I hated" (vs. 13); "He has mercy on whomever he chooses, and he hardens the heart of whomever he chooses" (vs. 18).) If our fate is thus sealed (pre-determined or pre-destined) based on God's whim, then on what basis can we be found to be at fault and punished? How is it fair that God picks and chooses who to save and who not to? If we don't have any say in the matter, how can we be responsible?
I don't pretend to have a complete answer to this question, but I believe that our best understanding will come from trying to see things from God's perspective rather than man's. Without God's mercy, NO ONE would be saved. Our reaction to God's grace shouldn't be one of anger because of the ones unsaved, but of rejoicing and praise for the ones saved. The emphasis is not on those who have been excluded, but on those who have been included - those who were previously not God's people but who now are.
Paul tries to draw this out with the analogy of a potter and clay (vs. 21), a familiar image from the Old Testament. I confess that this metaphor doesn't do much for me personally, as I think a comparison between a living, feeling human being and a lump of insentient clay is very limited. But the point remains: who are we to argue with God? Read the Book of Job if you want to see how that ends up.
Rather than asking, "Why are only some saved?" a better question would be, "Why are any saved at all?" And the answer to that is God's mercy and grace. We have previously concluded in Romans that we all deserve the wages of sin: death. Just because salvation hasn't extended to everyone is not a reason to refuse to praise God that some are indeed saved in Christ, because the reality is that none of us deserve it.
There is a famous scene in the Clint Eastwood movie "Unforgiven" where a young man who has just killed someone for the first time shakily says, "Well, I guess they had it comin'." To which Eastwood's grizzled character replies: "We all got it comin'."