Second messengers are used by certain hormones (peptide hormones) to cause a reaction inside the cell.
In very simple terms, steroid hormones are comprised of cholesterol and are able to pass through the plasma membrane into the cell to cause actions. Peptide hormones can't enter the cell, but they can bind to a receptor on the cell, which then activates a series of events which leads to the generation of a second messenger (typically cyclic AMP). The second messenger then triggers molecular interactions that alter the state of the cell.
So, the first messenger is the peptide hormone, and the second messenger is cyclic AMP (or some variation thereon).
Notably, catecholamines like epi. and norepi. also utilize second messengers, as do eicosanoids/prostaglandins.