Messengers in Chicago totally love old steel frames. As Joel pointed out steel frames can be both rugged and inexpensive. Of course, some are more rugged than others. Popular brands among in of old steel in Chicago include Myata, Peugeot, Bianchi, Trek, Fuji, Schwinn, Ocshner, Basso. (The last two had local Chicago area importers and, of course, Schwinn was headquartered in Chicago.) Other lugged bikes I have I have seen used as messenger bikes include Scapins, Colnagos, (newer)Cinellis, and Paramounts. I have heard tell that Ocschners were fairly fragile to the demands of messengering and as a result of their popularity (due to various blow-out sales), Ocschner change its warranty to exclude messenger bikes.
The problem steel frames face as messenger bikes in Chicago is rust due to road salt. Messenger bikes routinely rust out--even with fenders.