2) Anything you want. There are several different message formats but most are actually the serialized contents of a object. or a simplification therefore.
3) JMS is typically used to do asynchronous processing.
4) As with all other things, in the deploy directory. Except for standalone message listeners which are outside the JBoss directory.
If I knew which version of JBoss AS you are using I could refer you to some documents on JMS for that version.