One explination: Crazy fu-kin packets traveling over the internet.
The only thing I can conjure up why this sometimes happens is that when you send a chat message (keep up with me on this one) the packet, or we will call it, the "doohicky", goes into a buffer in your NIC, the "waiting room", once these "doohicky"s have read every operah magazine availible, they are pushed out onto the cable after being turned into electricity, we will call them -_-__-_--_-- (binary over copper wire

). Traveling through the cable like this they make way to your router, or, the "gatekeeper". There, the gatekeeper puts all the little -_-__-_--_--'s into sequence again to form doohicky's again. These doohickeys are then analyzed from skin deep and pushed out different "portals" depending on the "address" of the doohicky.
So lawdy-da these doohicky's move onto a better place as their -_-__-_--_-- counterparts.... the internet. This mysterious jungle of gatekeepers, whatchyamacallics and sindingys is just a compilation of tubes (made by Al Gore himself). Sometimes these tubes get stuffed with other things like, gay porn downloads, gambling sites, popups... and the only thing that can clear the way is for a gerbal in a roll ball to unclog the tubes. Once these tubes are unclogged, certain -_-__-_--_--'s get seperated from the rest of the pack due to a little thing known as best path and other round-robbin type of techniques. These lone -_-__-_--_--s are now facing unmountable adversity, trying to survive they have to ask the all knowing wizard, the "Dr. DNS".
"
Point me on my way oh kind sir, please help me I'm all alone!" (high voice)
"Yes son, just calm down... silkroadonline is that-a-way" (deep wise voice). Sighing in relief the -_-__-_--_--s that were seperated finally make it to the silkroad server. OMG what's that?!?!? Billy the 108th -_-__-_--_-- is missing!?!? OMG!! Oh phewwy, he's just coming in. The -_-__-_--_--s are then transformed into marvelous doohickys by the servers gatekeeper and sent to a much nobler type of gatekeep, one with infinate knowledge and knowhow of the universe... Jesus. Jesus then stores these packets in a fashionable way in tables and columns and rows.
All sorted nicely Jesus then takes these packets and forwards them back out to the gatekeeper who then breaks down the dookickys into -_-__-_--_--s. The journey starts once again but this time, it is more complicated. OMG, there are a billion people in my union!! Holy crap!!!. Jesus sees this atrocity and decides what he will do,
"I will send this set of doohickeys to everyone in the union". The command is given from above to the gatekeeper, who is anxiously awaiting the arrival of the doohickeys in order to put them through a woodchopper and break them down into -_-__-_--_--s. This plethera of -_-__-_--_--s is sent across JMs wires, and back into the maze of tubes. Fighting their way through the midget lesbians fighting and the guy with one eyebrow on myspace, these doohickeys finally make it to their destination... everyone in the godam union.
Now... on to explaining why the message comes in late. The chat system probably uses TCP, actually, the whole game probably does. This is a type of transfering protocol in which there are a series of syn/acks in which the "node" "talks" to the "server" and the "server" "talks" back, making sure that each and every packet the NODE sent, was reached by the SERVER. This creates a more reliable system compared to UDP in which it in unreliable

(streaming video, voip, blah blah blah). Now. Let's say that the server is being bogged down with a ba-ba-billion of these doohickeys and requests of acknowledgement and each and every node is bogged down with ba-ballion of doohickeys too, sometimes the gatekeeper fu-ks up and the doohickeys are sent WAY too fu-king late or get horrible directions in the series of tubes from the wizard of knowledge, BUT, since TCP, just because the packets didn't get there in a timely manner, doesn't mean they will NEVER get there, they just will be fashionably late to the party.
There ya go. Simply put, it's like the fu-kin US mail system, you may send your mail using it... but you might get it back (return to sender) or hell, it might not even show up. I am really now just rambling since I know nobody will read this. But hey, if you did read it I give you mad props and grant you the award of tolerance. You might have learned something here you never had known, or you might be banging your head against a brick wall beautifully illustrated in this gif below:
... and they all lived happily ever after.
Bibliography:
Series of Tubes. 14 Dec 2006. Online. 18 Dec 2006.
--<http://en.wikipedia.org/wiki/Series_of_tubes>
Naked Midget Sex at Hoes.com Porn, 10, June 2001. Online. 18 Dec 2006
<www.hoes.com/fetish-midgets.html>
Invention of the internet. May,1995, 2006. Dec 18 2006
<www.perkel.com/politics/gore/internet.htm>
Gerbal FAQ. 31 March 1999. Online. 18 Dec 2006.
<faq.gerbil.info/>