In relation to metaphysical poetry, wit refers to a form of verbal dexterity which draws attention to itself. Elaborate puns would be an obvious example. In the case of George Herbert's "The Collar," such dexterity manifests itself in a play on the word "collar," which can mean both a collar worn by the dog and the dog collar worn by a priest, such as Herbert himself.
Throughout the poem, the speaker loudly laments his fate and expresses his desire to throw off the collar and be free. In other words, he wants to give up his vocation as priest, which he clearly finds so demanding. Yet no matter how much the speaker rants and raves, he always hears the voice of a patient, loving God addressing him as "child". In such circumstances, all the speaker can do is respond with "My Lord". He's finally realized that, for all his trials and tribulations, he must remain true to his priestly vocation and continue to serve the Almighty.