Solution

Use the extra_tags keyword argument to pass a flag indicating that the message is safe for rendering without escaping. For example:

from django.contrib import messages

def some_view(request):
    ...
    messages.success(request,
                     'Here is a <a href="/">link</a>.',
                     extra_tags='safe')

 Then use some simple template logic to determine whether to use the safe filter:

<ul>
    {% for message in messages %}
    <li class="{{ message.tags }}">
        {% if 'safe' in message.tags %}
            {{ message|safe }}
        {% else %}
            {{ message }}
        {% endif %}
    </li>
    {% endfor %}
</ul>

Discussion

It's tempting to use the safe filter for all messages but this opens up a XSS security hole if you are not careful as it's easy to include user input verbatim in the message. For instance:

from django.contrib import messages

def some_view(request):
    code = request.GET['code']
    ...
    messages.success(request, "'%s' is not valid voucher code" % code)

 leads to an XSS hole if the safe filter is used on all messages as the contents of request.GET['code'] cannot be trusted. It's better to explicitly indicate which messages can be safely rendered without escaping.