Yeah, and Dany gets a look at the cost, which in turn inspires the direction of her own Messiah storyline. The Red Comet first appears in her chapter, when she survives the funeral pyre and hatches the dragons. Then she has an Ordeal in the Desert, before being welcomed to Qarth by three Wise Men People, each of whom represents a different source of power. Two of them try to entrap her and use her for their own goals, and later become her enemies, while the least helpful one, who merely offers her knowledge and cryptic prophecies, has not yet acted against her. Qarth itself is luxury, decadence and temptation to linger, and is reminiscent of a type of lotus eater-false paradise that can waylay the Messiah. There's also the warlocks, representing the sort of empowering ordeal (not unlike Paul's coma after changing the water or Rand's visit to Rhuidean; both of which, by absolutely no coincidence, take place in a desert setting). And Daenerys never really has a cause or agenda within her own story, which leads to her inventing one, when she encounters Slaver's Bay, and now, apparently, switching to a mindset of "let's dethrone the Padishah Emperor/Nuke the Seanchan once and for all/The Messiah is Officially Out of Fucks to Give" mode.

But that's the difference with Martin. Paul shied away from really doing what the Messiah needed, or what the forced inhuman perceptions of the Messiah told him was needed, because Herbert was all about the real horror of something that needed a Messiah, at least from a secular viewpoint that doesn't allow for strictly spiritual salvation. Rand went through everything trying to make himself into what he thought was needed in a Messiah, because Jordan was exploring the human costs of being the Indispensable Man. But Daenerys' arc is going to culminate in her finding a purpose, when she comes to Westeros and learns about the Others.

Exactly. And as Melisandre says, you still need the sword. And lo and behold, we finally learn in the last book, that she's not a con-man, she's not a malicious temptress or pyrophiliac nut who just wants to watch the world burn, while calling it a divine blessing, rather she is well-intentioned and dedicated to the cause of saving humanity from the Others, she's simply misguided. But she's still a step ahead of most people with regard to the higher threat, and she's the one who gets to point out the irrelevance of the Horned Lord's analogy to that higher threat.

"Dalla told me ... that sorcery was a sword without a hilt. There is no safe way to grasp it."
"A wise woman." Melisandre rose, her red robes stirring in the wind. "A sword without a hilt is still a sword, though, and...a fine thing to have when foes are all about..."
That's the difference, I think. Herbert would definitely agree with Dalla's line, but Martin sees the appeal of the Messiah figure, and creates a situation where one can do some good.

Rhaegar is definitely a deconstruction of the Messiah issues, as the Bene Gesserit are in Dune, or the Aes Sedai like Elaida, Moiraine, Tamra and Siuan in Wheel of Time, who are all trying to shape the Messiah and prophecy to fit their visions, and all of whom end up getting broken on it. Rhaegar is the worst of the bunch in some ways, and gets punished the hardest by the narrative, because in his narrow-minded focus on one aspect of the prophecy, he made the situation even worse for the Messiah. Moiraine & Elaida contributed to Rand's plunge into darkness, and the Bene Gesserit imposed hardships that inspired Paul to use his powers and advantages against the order of which they were a part, but Rhaegar's actions created a Westeros that was so hostile to his offspring, that Jon had to be hidden from everyone, his identity concealed at the price of Ned's marital happiness, and Jon's prospects for a decent life. The constraints imposed on Jon exceeded even those of other bastards. We see, or can infer, that had Ned truly had a bastard son, Robert would probably have been fine with the kid sharing the head table during the feast, or coming to court, and he'd have probably approved of Ned getting Jon a place in the royal institutions, say a commission in the gold cloaks or royal navy or one of those bureaucrats' jobs that Littlefinger was filling up with his clientele. But because of Rhaegar and hatred he engendered through his shortsightedness and mismanagement, Ned shoves Jon to the back of the Hall, lest Robert or Jaime or Cersei note a resemblance to his true father and refuses to bring him to court, where Pycelle or Varys or Barristan or even Tywin or someone else might make the same connection. Joining a celibate penal colony under constant threat of enemy attack in one of the most extreme weather conditions in the country looked like the best viable fate of the options left Jon thanks to Rhaegar and his father turning the realm so adamantly against them.
The flip side of Jon is Aegon VI, who may be, but probably is not, the son and heir of Rhaegar, and in his own way was created through efforts just as forced and artificial as Rhaegar tried with Jon. Varys was not aiming for a Messiah, just an idealized king, with a "magical" (in the figurative sense) story, the sort of thing that inspires legends and sagas. Yes, he's lived as a commoner, but hasn't been really threatened, because he has been protected by knights. He does not get his army because he gambled his fate on the army's decision to side with him over the tyrants of a slave city. The beats are there, he presents himself before the Golden Company, just as Daenerys does before the Unsullied, and proposes a risky course of action...but they are already bought and paid for, if not in whole or part by Illyrio's money, then by the possibility that Aegon is actually a replacement for Rhaegar's truly dead son, obtained from a female descendant of the Blackfyre rebels for whose cause the Golden Company was founded. He probably does not even realize how fake and stage-managed this moment was. And unlike Daenerys' legitimate revulsion for the institution of the Unsullied and empathy for their suffering, we know fAegon's gamble is inspired by Tyrion's seeded insecurities and the impulse to jump the gun and claim the prize before a possibly worthier contender or more challenging opponent joins the game. If he makes an alliance with the Martells, it is going to be through his handlers playing on Doran's grief and willingness to believe a false claim of blood kinship or on Arianne's lingering desire to outshine Quentyn, to make the marriage pact with a Targaryen and be consort to the Iron Throne, as Doran had intended for him.

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Yep. It's everywhere. What are supposed to be a stable series of alliances and agreements for mutual security and safety are exposed as nothing more than an ongoing attempt to trade what should not commodities (loyalty, family ties, justice) for ever more resources, power and access. And if you don't play, you'll end up a victim of those who do.
Well, that's just the human condition. But the 20th/21st century reader has more than his share of democracies, republics, socialist states and authoritarian or totalitarian regimes, to be able to spot the flaws and built-in systemic oppression of those systems. But feudalism retains the rosy tint of hindsight, with the romantic ideals and powerful imagery, and it's easy for people to prefer the idea of a great and good king in a golden crown dispensing justice with empathy from his throne, instead of a politician or bureaucrat in a mundane suit signing off on a policy that pays off special interests, with a smattering of justice or gain for the theoretical beneficiaries and a lot of inconvenience to oppression for everyone else. For knights confronting one another on a battlefield or duel, instead technicians in a control room poised to exterminate cities at an impersonal command, or terrorists blowing up a civilian establishment or rifle-carrying occupation troops kicking down doors and dragging innocent bystanders or romantic guerrillas off to barbed wire camps.

But Martin shows the judgments of kings favor the elite interests, just as those of legislators & ministers, except it's noble houses instead of corporations, that warfare with knights in every bit as gruesome and brutal and hard on the innocent bystanders, and that arrows and wildfire and dragon breath are just as impersonal and cruel as artillery or car bombs. Harrenhal is no better or cleaner or shinier than Dachau or Bataan or Guantanamo. The Iron Fleet are no less terroristic than al'Quaeda, acting every bit as much on an idealized past that never was, and elevating a perception of purity in living up to a code that has changed so much it's impossible to achieve perfection.

Yes, but Martin still accepts the fun aspects, and honors the appeal. I think what he is doing is trying to make it work. He's giving us guys who stand up for what's right and true, even if their efforts are futile. His narrative does not cast Dunk or Brienne as a wasted effort. It does not scoff at the futile gesture of Ser Waymar Royce's defiance against the Others. After showing with Ned Stark that being good is not enough to save you and with Davos that it requires effort, and constantly striving, no matter how hopeless and presenting Tywin claw his way to the top of Westeros, ruling the king and dominating court and family, while the realm cowers in fear, the last two books turned around and gave us the horrible destruction Tywin's brand of rule and ruthless tactics produces. It gives us Tywin rotting on his bier so horribly, that his grandson literally loses his crown ( "...Lord Tywin was a horror. One desperate breath of air, then the king began to sob. "Stop that!" Cersei said. Tommen turned his head and doubled over, retching. His crown fell off and rolled across the marble floor." ).

And Stannis & Davos are finding unexpected success, with men who remain loyal to the memory of Ned Stark. If Jon plays a part in saving the world, with his implied role as co-Messiah or supporting partner to Daenerys, it's going to be as Ned Stark's son, not Rhaegar Targaryen's. It's going to be the legacy of the man who protected, raised and loved him, not the one who ignored his duty and destroyed his family and kingdom in order to force a prophecy to come true or else to rationalize his own desires with reference to a prophecy. Martin's message is going to be "prophecies and Messiahs and honor and crowns are all well and good, but they are no excuse for not doing the right thing." Daenerys' "a dragon plants no trees" epiphany at the end of aDWD would be an ongoing rationalization/justification for a lifetime of atrocities by a scion of House Atreides. It would a self-pitying mantra for Rand al'Thor. For her, it's going to be a mistake, and she's going to have to learn before the end that it's NOT an excuse. Just because she might not be able to plant the trees she wishes, is not license to burn others'. She has to find a legitimate target for her fire, a worthy cause for her messiah status.

George Martin likes the idea of a good king, a crusading knight and Messiah with portents and omens heralding their rise. He just wants to find a way for those things to work, to be earned. Stannis sets sail in book 2 out of a sense of entitlement, to rectify his grievances, and goes down in defeat. He sets sail again in book 3, and comes north to save the realm and answer, unlooked-for, a call for help, and he succeeds defeating first the wildlings, then the ironborn and probably in the next book, the Boltons, liberating the North from its trio of mundane tormentors. And if he has a happy ending (or as happy an ending as he can or should have, if the hints as to the fate of his daughter are fulfilled) it's going to be in the knowledge that he did all he could, that he did his duty to the end against the existential threat, or, at best, in the acceptance of his role as the guy who sets things up for the hero (Dany/Jon), at which he still evinces signs of resentment such as in comparisons to Robert.

So I think there's going to be a happy ending, with Jon/Dany playing the part of the ruler as a sacrifice for their people, while Bran is a titular king, who protects the welfare of the realm on a mystic level, and Sansa does the work of good governance for which she is being set up. Martin is not writing the Messiah as a mechanism for a power fantasy whereby the hero gets to break the rules for his own benefit, but to show that it has to be worth it, and you have to, in turn, be worthy of it. He's showing that being good is worth the effort, even if it does not immediately pay off or reward you for it, and the inherent futility of striving for success at all costs or trying to chase a myth or fantasy or unattainable state of perfection, or living for prophecy or vengeance or lost love.