Is it possible (OOTB) to show a simple pop up message to the user as part of a workflow running? I'd just like a short message containing some workflow data to be displayed to the user with an OK button.
It depends how far you place OOTB
OOTB, there is an API which let you use Workflow Services.
But they are not Nintex considerations, only basic SharePoint capabilities.
The problem is that Workflow runs in "back-office"...so it can't act on user screen.
The more efficient way should be to use native NINTEX features that communicates with specific programs, wich are able to pop : email sending, or Skype/Lync notification.