What is Psalm 2 telling us about messianic expectation?
First, we must regard the context of Psalm 2. It speaks with regards to the nations surrounding the people of God. Their plans are to undo the will of God and crush his people. Yet the One enthroned in heaven laughs at their efforts. He does so because he knows that his rebuke will break their feeble efforts.
Second, he speaks of his own enthronement - the one whom he has installed as king on the holy hill of Zion. This is a political theme which makes this psalm a bold declaration of what God will do before the nations, and how he will deal with those who oppose him. Thus, there is something to be said for enthronement theology to work hand in hand with the unmentioned 'kingdom of God' within Jewish Scripture. For, although nowhere in the OT is the phrase 'kingdom of God' used, it evidently was a prevalent enough concept for Jesus to use in connection with his own ministry. And people assumed (mostly with incorrect ideology) that they knew what he meant by such language.
Third, not only is this established king on Zion set there as God's ruling agent, it is also the case that this earthly figure is now designated as the Son of God. This is one of the more difficult pieces for modern Christians to understand, for it is not linked to trinitarian doctrine in our systematized sense of the term. There is a bit of 'adoptionism' in view here: that God would bring this humanly messianic figure into such a relationship that it would be as though God were his own father.
Fourth, to this messianic Son of God would be given the nations as an inheritance and the ends of the earth as a possession. This fusion of political and spiritual language is nothing short of God's kingdom, and it accomplishes his redemptive work. Thus, the message of the gospel is more than personal salvation, it is the coming of judgment and redemption into the world with the end goal establishing God's redemptive kingdom throughout all the earth.
And thus, I believe that my friend, Andrew Perriman, is correct to place this reading into the backdrop of Romans 1 (The Future of the People of God, 12-28), where now Paul is declaring that salvation from the wrath of God is being offered to those who believe. The deliverance of God is found in the messianic enthronement of his Messiah, who is the true Son of God (in the face of the Roman emperors who insisted otherwise, e.g., Augustus' claim to be the son of god). This is what is meant by gospel - the narrative which has changed the world.