The term messiah, or Christ according to some, is prominent within the world's many religions, especially in the Abrahamic religions Judaism, Christianity, and Islam. A messiah is regarded as a savior of mankind who would bring them salvation near the end of days, although opinions between who the term messiah refers to differs between religions.
The most common opinion in the West is the Christian one, which holds that the messiah is Jesus Christ. Other messiah figures have appeared in both history and myth and people have placed their hopes in them for salvation, Buddha, Krishna and Maitreya being examples.
"Appears before Judgment Day to save the virtuous. He is a universal figure, appearing in myth around the world. Many stories involve his death and rebirth."
—Persona 3 compendium
Messiah is the highest-level Persona in Persona 3. It is the final Persona of the Judgement Arcana, which can only be accessed by venturing to the final level of Tartarus. Messiah can only be obtained by fusing Orpheus and Thanatos in the Velvet Room once the protagonist reaches Lv. 90 or above.
During the ending credits, Messiah can be seen inside the protagonist's silhouette, indicating that Messiah is his "true" ultimate Persona (which is also an allusion to the protagonist's role to the story). Also telling is that Messiah is formed by fusing Orpheus, the protagonist's base persona, with Thanatos; which is Ryoji's true form.
Unlike other Personas, Messiah is capable of producing more than one type of item:
Armor of Light
Shoes of Light
Aura Dog Suit
Soul of Athena ("Aigis Armor v.0" in P3)
Swan Legs ("Aigis Legs v.0" in P3)
Omnipotent Orb (1% chance).
These items are the strongest equipment in the game.
Aigis can summon Messiah once she has reached Lv. 90 or above in the playable epilogue of Persona 3 FES, titled The Answer. As The Answer does not use the Social Link system, maximizing the Judgement Arcana is not necessary, however creating Messiah still requires fusing Orpheus and Thanatos, as was the case in the main game.
Immediately after both the P3 Hero and P4 Hero reach level 55, the request, The Power of the Wild Card, becomes available. The request for just the two Heroes to fight Margaret in You in Wonderland Chapter 3. Immediately after the fight, Orpheus evolves into Messiah and Izanagi evolves into Izanagi-no-Okami. Due to the two Wild Card users being brought together, similar to everyone being able to equip two Personas, once the two Heroes attain their ultimate Personas, everyone else is able to as well, with their Personas evolving once they reach level 55. Each ultimate Persona has one skill, unique to it, Messiah's being Debilitate, which greatly lowers one enemy's attack, defense, hit, and evasion for 3 turns.
Messiah appears alongside Izanagi, Thanatos and Pallas Athena as one of the Personas featured in Lord of Vermillion Re: 2. Messiah appears as Aigis EXO's Persona and enables Aigis to use Orgia Mode EX, which greatly enhances her stats and enables her to use Megido Fire EX as her normal ability.
Messiah's face strongly resembles the face of the protagonist's initial Persona, Orpheus, and is holding several coffin lids on a chain, which resembles the coffin cape of Thanatos. Orpheus and Thanatos are required for Messiah's fusion, and these resemblances likely reference that.
While Messiah is the ultimate Persona of the protagonist, he doesn't have any "special" skills, like Odin's Thunder Reign, Alice's Die For Me!, or Daisoujou's Samsara. To make up for this, Persona 3 Portable introduced a special skill unique to Messiah called "Magic Skill Up." This skill (unable to be inherited by other Personas) enhances all Spell-based attacks by 50%, making Messiah the strongest Spell-user in the game. It also makes his Megidolaon stronger than the standard Morning Star, though Morning Star may be fused onto Messiah for the strongest Almighty attack in the game (sans Armageddon). Additionally, with proper inheritance or through the use of skill cards, you can stack Boost + Amp + Magic Skill Up to have the ultimate single-target Elemental Spell.
The only anti-physical skill Messiah learns is Absorb Pierce, instead of Slash or Strike. This might refer to Jesus in western religion: as after Jesus died on the cross, a soldier named Longinus pierced his body with a spear (spear weapons are categorized into piercing attacks in Persona 3). Messiah's passive ability, Enduring Soul, may also refer to when Jesus resurrected himself three days after his death.
It could be argued that the large object situated behind Messiah's back is a reference to Jesus, as is his mechanized body, which would be a reference to his body being so heavily mutilated during his Crucifixion.