Why did David compose this Mizmor?
Malbim #1: It was when rain was withheld. They decreed a fast and confessed, and Hashem consented with abundant rain of Brachah. It seems that at the time there was also war with enemies, and the rain stopped the enemy from entering Yisrael's border. Perhaps this was during the hunger of three years in the days of David. They asked the Urim v'Tumim and found out that it is due to their sin. They fixed it, and rain descended.
What is "Maskil"?
Rashi (from Pesachim 117a): This teaches that it was said via a translator.
Radak (4:1): It is the name of a kind of [instrumental] song.
Why does it say "Nesuy Pesha Kesuy Chata'ah"?
Rashi: Hashem bears his rebellious sin and covers up his Shogeg sin. Radak - this is due to his Teshuvah and punishment in this world. There is no pardon of sin without punishment 1 , either big or small. According to the [great level of] Teshuvah, the punishment will be lightened.
Radak (2): David said so about himself. He was worried about his sin, and said that fortunate is one whose sin is borne.
Radak (2, citing his father): There are three levels of Tzadikim. (a) Most Tzadikim are at the lowest level - "Nesuy Pesha." He sinned and totally repented, and was pardoned. (b) A minority have many merits, and only a small sin. It is covered - "Kesuy Chata'ah." It is not seen amidst his merits, like a millet seed in a Se'ah (the volume of 144 eggs) of wheat. (c) Refer to 32:2:1:3.
Malbim: David saw that they were punished because until now, their sin was covered. It is as if the punishment was due to this. Fortunate is one who is pardoned for the Pesha of covering his Chet. Keeping it covered and not confessing turns Chet (Shogeg) into Pesha (rebellion); its punishment is harsh.
Yuma 86a: If one transgressed an Aseh, and repented, before he budges from his place, he is pardoned. For Kares or Misas Beis Din, punishment is required. (Perhaps for an Aseh, he receives a tiny punishment immediately, before he moves. - PF)
Why is he fortunate?
Radak: He will be clean from sin in the world to come.
Malbim: Refer to 32:1:3:2.
Here it says that one whose sin is covered is fortunate. "Mechaseh Pesha'av Lo Yatzli'ach" (Mishlei 28:13)!
Yuma 86b #1: For known sins, he will not succeed 1 . For unknown sins, he is fortunate.
Yuma 86b #2: For sins Bein Adam l'Chavero, he will not succeed 2 . For sins Bein Adam la'Makom, he is fortunate
Sha'arei Teshuvah 1:18: This is because he profaned Hashem's name. He must mourn over such sins in front of people to be Mekadesh Hashem's name!
Sha'arei Teshuvah 1:18: This is because he has no Kaparah until he returns the theft and asks pardon from the one whom he pained, embarrassed or spoke Leshon ha'Ra about him.
