General note/recommendation: This script works best if the messages page is left open. If the messages page is left open in any tab, the script will, without any effort on your part, keep checking for new messages (at a cost of zero clicks/page actions), inform you of them (and break them down into important, PMs etc), display them on the messages page, and with a little configuration, will also auto-mark messages as read, and auto-delete messages as it goes.

Features:

Automated check for new messages:
As long as the messages page is open in any tab, it will periodically (every 5 minutes by default) check for new messages and display any it finds. This process does not cost any clicks/page actions and does not refresh the page. For the more impatient, the script can be set (in Preferences) to check for new messages anywhere down to once every minute.

New message counters display:
As long as the messages page is open in any tab, it will replace the "MESSAGES" tab on the left with a more detailed display showing the number (if any) of: Important messages, PMs, and non-important messages. Note, these figures only represent messages found in the first page of messages.

Important messages:
Any message type, and any message subject line, can be specified as important (in Preferences). By default, all messages of types PM,Admin,Stone & City, and all messages whose subject contains "has lost,has gained" are marked as important. Important messages are colored differently to stand out and also have their own count for unread messages.

Automated message processing for Market and Vehicle messages:
When you mark a message as read, or delete a message, you are given the option of automatically applying that action (mark as read/delete) to all current and/or future messages with the same subject line.

Message view:
When you open a message to view it, the message is shown directly in the messages page above the list of messages, without having to load a new page. Alternatively, you can choose (in Preferences) to open messages in a new tab or a popup window.

Private messages:
PM Conversations are now displayed with different (customizable) styles for: 1. messages from you, and 2. messages to you, to make conversations easier to read. Links in PMs are now clickable and will open in a new tab.

Filtering:
Messages can be filtered by message type. In addition, Market and Vehicle messages can selectively be filtered out.

Send PM / Note to self:
Send a PM to someone by typing in their name, or send a note to yourself by clicking "Note to self".