As the number of Internet of Things (IoT) devices proliferates, the magnitude and velocity of data continues to increase rapidly. IoT systems rely primarily on using messaging protocols for exchanging IoT data and there exists several protocols or frameworks that support distinct types of messaging patterns. Given that IoT devices typically have limited computational resources and processing power, choosing a lightweight, reliable, scalable, interoperable, extensible and secure messaging protocol becomes a very challenging task. As a result, it is not uncommon that IoT systems may employ multiple messaging protocols for supporting device heterogeneity and different message exchange patterns. In addition, basic similarities among existing several messaging protocols or frameworks that exist today for exchanging IoT data within IoT systems suggest the potential of interoperability. Given that IoT systems help facilitate the interconnectivity among distributed, heterogeneous entities, interoperability among existing messaging protocols will play an increasingly important role in simplifying the development and deployment of IoT systems. In this paper, we present a comprehensive review of the existing messaging protocols that can be used in deploying IoT systems. Throughout this paper, we highlight the protocols' distinctive approaches and applicability of using them across various IoT environments. In addition, we highlight challenges, strengths and weaknesses of these messaging protocols in the context of IoT.