I have deleted few very important messages on Facebook.
Currently, Facebook has an option for "archiving" messages rather than deleting them. If you have deleted a Facebook message, there's a good chance that it's not really deleted but archived. If so, you can get it back. On the other hand, if you choose "delete" rather than "archive" or if you delete an archived message, then that deletion is considered permanent.
Archiving Facebook Messages
In order to avoid potentially deleting messages you want to keep, it's smart to get into the habit of archiving your messages. To do this, click on Messages and open the message you want to remove from your list. Click on Actions and choose Archive. This will move your message into a hidden folder. Using the archive feature is handy in that you can keep your list cleared of older messages, yet you'll also be able to retrieve the message in the future if desired.
Unarchiving Facebook Messages
In order to view an archived message, you will once again click Messages. Since the folder the archived messages are stored in is hidden, finding them isn't overly intuitive. They're hidden after all! However, if you scroll down to the bottom of your messages list, you'll see a tiny link in the lower left corner labeled Archived. Click Archived and you'll see a list of all archived messages. Alternately, if you click the magnifying glass next to the + Messages box, you can select Archived Messages.
From there, find the message you want to restore. On the far right, you should see a tiny gear and arrow next to the message's date. Click the arrow to unarchive the message. Once unarchived, it will appear in your regular message list. Alternately, when viewing the actual message, you can also click on Actions and then choose Unarchive from the list.
Deleting Facebook Messages
Note that you can delete both archived and unarchived messages permanently by choosing Delete rather than Archive.