Currently, if messages are generated by drupal_set_message after (for instance) posting a comment, they will most likely go unnoticed by the user, because the messages appear at the very top of the page, and the user is "redirected" (presumably using JS and an anchor tag) to the comment that was just posted further down the page. It would be better from a UX standpoint to print messages at the position of this anchor, whether it's at the top of the page or somewhere else, since that is where Drupal is directing the user's attention.

I'm happy to take a crack at this myself, but I'll need some pointers- I'm not exactly sure how to implement it in the theme layer. I think you'd basically need to override page.tpl.php, grab the current anchor / HTML bookmark, and then somehow print the message immediately below that.

Alternatively, it might be better if messages were positioned absolutely at the top of the browser window instead of relatively in the page content.