It is not as though Esau was good and Jacob was bad. The Bible says that Esau despised his birthright. What is more the writer of Hebrews gives us an even clearer perspective, writing that Esau was "immoral and godless" for doing so (Hebrews 12:16). Remember, also, that Esau took Canaanite wives, which he should have understood was not only dispeasing to his family but also to God.
Now, clearly Jacob was not a saint. He did deceive his brother and father. Now, one might surmise that the double deception by Jacob and Rebekah was to ensure the fulfillment of God's prophecy that the older (Esau) will serve the younger (Jacob) (Genesis 25:23). It appears that Isaac was intent on disregarding the prophecy and was still planning to give his blessing to Esau. Rebekah may have thought that she needed to do "her part" in preventing this. But this is just conjecture.
Remember Abraham trying to preserve himself, telling Sarah to say the she is his sister before Pharoah and then before Abimelech? Remember Sarah, desperate for children, giving Hagar to Abraham to have children by her maid? I recall reading that certain Jewish rabbis give the explanation that Abraham did what he did to ensure God's promises to him would not be precluded by his untimely death.
I write these things so that we might not be too quick to criticize Jacob or feel sorry for Esau. What is clear is that God's purposes will be accomplished in spite of the ungodly thoughts, plans and actions of people. None of us are deserving of His grace, but praise God that in His sovereign grace, some of us were chosen to enjoy the light of life:
And not only this, but there was Rebekah also, when she had conceived twins by one man, our father Isaac; for though the twins were not yet born and had not done anything good or bad, so that God’s purpose according to His choice would stand, not because of works but because of Him who calls, it was said to her, “The older will serve the younger.” Just as it is written, “Jacob I loved, but Esau I hated.” (Romans 9:10-13).
While it is understandable to feel sorry for those that don't get saved, neither should we brag about those that do. There is absolutely no place for boasting, for we are all deserving of condemnation but God has chosen to save some of us for the sake of His greater glory. This may be an unsatisfactory answer to some, but that is the best and most consistent explanation, as I can see it, of all that Scripture teaches on this matter.
Consider what Jesus says about those that thought that some were greater sinners because they died sudden and horrible deaths:
Now on the same occasion there were some present who reported to Him about the Galileans whose blood Pilate had mixed with their sacrifices. And Jesus said to them, “Do you suppose that these Galileans were greater sinners than all other Galileans because they suffered this fate? I tell you, no, but unless you repent, you will all likewise perish. Or do you suppose that those eighteen on whom the tower in Siloam fell and killed them were worse culprits than all the men who live in Jerusalem? I tell you, no, but unless you repent, you will all likewise perish.” (Luke 13:1-5).
What is the lesson? All of us deserve to perish. If we are spared, that is an act of grace. What should surprise us is that so many of us are spared so long. Death comes to all of us. Death has the last word for all of us—unless we repent, which alone leads us beyond death to the life of the consummated kingdom.