If you put set -e in a script, the script will terminate as soon as any command inside it fails (i.e. as soon as any command returns a nonzero status). This doesn’t let you write your own message, but often the failing command’s own messages are enough.
The advantage of this approach is that it’s automatic: you don’t run the risk of forgetting to deal with an error case.
Commands whose status is tested by a conditional (such as if, && or ||) do not terminate the script (otherwise the conditional would be pointless). An idiom for the occasional command whose failure doesn’t matter is command-that-may-fail || true. You can also turn set -e off for a part of the script with set +e.