Re the plain, bare error message given when a commenter fails to fill in all of the required fields (name, email, or comment message). This appears as: wordpress/wp-comments-post.php.
After much exploration, I believe that the only way to modify the message or to style it is to alter files wp-comments-post.php (in wordpress folder), and the only css modification that works is to modify install.css (in wp-admin/css folder). Also involved is the function wp_die(), in functions.php. All of these are core files, rather than files which can be altered at the theme level.
I am currently experimenting with plugin Comment Validation, which works very well via jQuery.
WP feature request: Make it possible to modify at the theme level both the message and the css styling for the comment validation error message.
I would envision the ability to create a custom template, and then create a Page, with a custom validation error message; and to then be able to tag and style this page in a theme's style.css.