I have 0 through 9 filled for just about all of my characters. Generally, 0 is a quick, simple greeting, 1 is a bit of a longer greeting, 8 is an introduction (though it's not like anyone ever asks "who are you?" so it goes pretty much unused), and 9 is a quick sentence that can be used as an "engagement notice" if I desperately need to pew-pew with minimum talking (that never happens, either).
Everything else in-between those numbers varies from character to character. I have two sheets of paper taped up on the wall behind my computer to remind me which setmsg is which for each one of my ships.
Some of my characters end up using their setmsgs pretty often. It's useful for the KSP, asking people to stop for a scan and telling them whether their cargo is legal or not. Most of my characters never get a chance to use them, though. The [IND]Casual.Friday's setmsgs are set up almost exclusively for pirate encounters, but I rarely find pirates when I'm out trading.
Here's a peek at Brakelatabasaasta's list.
0. Hi hi! 1. Hi hi, person person! 2. Hiya, fish-face! 3. Oh my fish. 4. Ooh. Pretty. 5. Hardly! I'm Brakelatabasaasta! 6. Marco! 7. I can't NOT make sense! 8. I'm a Brakelatabasaasta! What are you? 9. I'M HELPING, I'M HELPING!
1. Hey there ! Engines to zero !
2. Let's see what shiny things you got there...
3. Aha, oho; well let's see...
4. You don't want this cargo helplessly flying around in space do you ?
5. This is your very last chance, pay / drop the cargo or you will be destroyed !
6. Well done, for now, you are free again.
7. You decided wrong trader ! Now fear me !
( Trader destroyed ) 8. Traders these days...
( Trader not destroyed ) 9. You got lucky this time !
10. Hmm, looks like the perfect time to get outta here.