Traditional unix systems display /etc/motd after the user is successfully authenticated and before the user's shell is invoked. On modern systems, this is done by the pam_motd PAM module, which may be configured in /etc/pam.conf or /etc/pam.d/* to display a different file.
The ssh server itself may be configured to print /etc/motd if the PrintMotd option is not turned off in /etc/sshd_config. It may also print the time of the previous login if PrintLastLog is not turned off.
Another traditional message might tell you whether that You have new mail or You have mail. On systems with PAM, this is done by the pam_mail module. Some shells might print a message about available mail.
After the user's shell is launched, the user's startup files may print additional messages. For an interactive login, if the user's login shell is a Bourne-style shell, look in /etc/profile, ~/.profile, plus ~/.bash_profile and ~/.bash_login for bash. For an interactive login to zsh, look in /etc/zprofile, /etc/zlogin, /etc/zshrc, ~/.zprofile, ~/.zlogin and ~/.zshrc. For an interactive login to csh, look in /etc/csh.login and ~/.login.
If the user's login shell is bash and this is a non-interactive login, then bash executes ~/.bashrc (which is really odd, since ~/.bashrc is executed for interactive shells only if the shell is not a login shell). This can be a source for trouble; I recommend including the following snippet at the top of ~/.bashrc to bail out if the shell is not interactive:
if [[ $- != *i* ]]; then return; fi
grepin/etcfor some subset of the message. – Kevin Feb 22 '12 at 23:03/too, takes forever on a 1TB disk, let me tell you... But I've never been on twitter :) – Kevin Feb 22 '12 at 23:12