Is it possible to create a saved search which has Activities and Messages in it?

there's an Activity Field... and Messages Fields... on saved search that you can use.

I've found the saved searches get bogged down when trying to add too many joined fields and doesn't work as well. IMO modifying the Sales Activity by Sales Rep report works better for that. For saved searches I added the "Show History" link as a pop up using a Formula HTML field. That way you can see messages and activities in one place with 1 click. Here's the formula in case it's helpful (customer saved search): '<a href="#" target="" onclick="nlOpenWindow(''/app/crm/common/crmactivityhistory.nl?fkcol=kCompany&id='||{internalid} ||''', ''Entity_popup'' , ''width=750 height=850, resizable=yes, scrollbars=yes'');return false;">Company Msg/Note/Task Hx</a>'