|Hermes / Mercury|
Hermes (Mercury) became a messenger because his father Zeus sought to curb the thieving tendencies Hermes demonstrated. On the day of his birth, Hermes stole his brother Apollo's cattle in order to create the first sacrifice to the Olympians. Genealogical charts.
Since he's the fastest (with winged sandals and hat), Hermes is the god of thieves and commerce, as well as messenger god.