What is an empty interface used for
Also known as a Marker Interface:
http://en.wikipedia.org/wiki/Marker_interface_pattern
Usually it's to signal usage of a class. You can implement IMessage to signal that your class is a message. Other code can then use reflection to see if your objects are meant to be used as messages and act accordingly.
This is something that was used in Java a lot before they had annotations. In .Net it's cleaner to use attributes for this.
@Stimpy77 Thanks! I hadn't thought of it that way. I hope you'll allow me to rephrase your comment in a more general way.
Annotations and attributes have to be checked at runtime using reflection. Empty interfaces can be checked at compile-time using the type-system in the compiler. This brings no overhead at runtime at all so it is faster.