Underscore and general app design review
Since you asked to review only the underscore part,

Just had one remark that I would suggest to move the templates to a script tag "text/template" rather than defining them as a variable.

eg:

&lt;script type="text/template" id="msg_container"&gt;
    &lt;div class="row-fluid msg-container well" id="msg-&lt;% id %&gt;"&gt;
        some html
    &lt;/div&gt;
&lt;/script&gt;

&lt;script type="text/template" id="msg_reply"&gt;
    &lt;div class="reply well message"&gt;
        some html
    &lt;/div&gt;
&lt;/script&gt;


Compile and use the same like below,

var msg_container = _.template($('#msg_container').html());
var msg_reply = _.template($('#msg_reply').html());


Though you asked to review only the '_' part but couldn't resist asking this question, From your example snippet I see 6 potential AJAX calls based on the loops. Wouldn't there be a performance problem since it completely relies on the number of messages and replies and what if the messages and replies are more or I could be missing the overall picture :)