Messenger RNA (mRNA) can be harnessed as vaccines and therapeutic drugs via transient in situ expression of protein antigens and therapeutic proteins, respectively. Currently, mRNA-based vaccines are used worldwide in mass vaccination programs to induce protective immunity against COVID-19, and a number of prophylactic vaccines, therapeutic vaccines, and therapeutic drugs based on mRNA are now tested in clinical trials. Although chemical modification of the mRNA components has considerably ameliorated mRNA stability and immunogenicity, further improvements in formulation and delivery systems, which are used to transport mRNA to the cytosol of target cells, are still required to enhance the efficacy and safety of mRNA therapeutics. However, our knowledge about the mechanisms by which mRNA therapeutics activate the immune system is still very limited, partly because the activation of immune cells by ionizable lipids commonly used in mRNA delivery systems is poorly understood. Lipid-mediated induction of innate immune pathways can be exploited in mRNA vaccines by providing an adjuvant effect, whereas innate immune activation is undesired for the therapeutic use of mRNA. Here, we review recent studies focusing on the hurdles that challenge in vivo delivery of mRNA. We subsequently discuss the state of the art in formulation design approaches, which are used to overcome these challenges, with focus on the marketed COVID-19 mRNA vaccines. Finally, we present research centered on how ionizable and cationic lipids used for delivery of mRNA therapeutics activate immune cells and engage innate immune pathways, including future challenges and opportunities in formulation and delivery to optimize the safe and efficacious use of mRNA therapeutics.