Messiah
The word "Messiah" comes from the Hebrew word meaning "The anointed one", but that just leaves us with the next question - what does anointed mean. When God selected people for special roles they would be anointed, so you could say anointed means something like selected by God. These selected people were sometimes marked by pouring oil on their heads and sometimes by giving them the Holy Spirit, which the oil represents.
The Messiah is more than just another person God had selected. He was also God and his special role was to bring salvation to the world. In many places in the Old Testament there are prophecies about the coming Messiah and that salvation he would bring. Jesus was that Messiah and people were expecting him when he came. That's how the wise men were told the place of his birth.
Instead of "Messiah" some translations of the Bible use the word Christ which comes from Greek. They mean the same thing.
Some people think that Christ is Jesus' last name and say Jesus Christ in the same way they would say Tom Bradley. It's better to say Jesus the Christ or Jesus the Messiah which would be like saying Tom the Coach.