Update for CMake 3.0 and newer :
line continuation is possible with \. see the latest cmake docs
message("\
This is the first line of a quoted argument. \
In fact it is the only line but since it is long \
the source code uses line continuation.\
")
Availability of CMake versions:
Debian Wheezy (2013): 2.8.9
Debian Wheezy-backports: 2.8.11
Debian Jessy (2015): 3.0.2
Ubuntu 14.04 (LTS): 2.8.12
Ubuntu 15.04 : 3.0.2
Mac OSX : cmake-3 available through Homebrew, Macports and Fink
Windows: cmake-3 available through Chocolatey