Yep you only get to see the number of notifications/missed events on the lockscreen not the messages itself. I had a look at my friends iPhone 4S and its way better, shows you like a list of messages directly... We do have toasts on WP but it displays the messages(SMS) only one at a time and that too when you've immediately powered the screen on. You'll have to make do with the notifications(on lock screen).
EDIT: setting phone or message as the Main notification(first one for "detailed status" in lockscreen setting) can alleviate the problem to some extent but then again you can view only the most recent/last event. To clear all notifications from lockscreen, you'll have to visit each of them(whatsapp/messages/emails/phone) to clear them from the record. Yeah, notification center(like the one in Android) is something that will be really awesome.