An overview of the message types, with a brief explanation

I Information message, report temporarily interrupted (except when run in background)
W Warning message, program temporarily interrupted
E Error message, program stops running untill error is corrected
S Success or Skip message is reported on next screen
A Abnormal program termination, program stops immediately
X eXit Transaction terminated with short dump

Note that if it is runtime progress indicating you want to use the MESSAGE statement for, there is a nice alternative to the "S", in function module SAPGUI_PROGRESS_INDICATOR,