The classic way of explaining Mashiah coming is him arriving unexpectedly - either on clouds or on a donkey, depending on whether we are deserving or not.
However, one obscure Midrash presents another way that he comes. I was browsing the Torah Sheleima by Rav Kasher on Balak, and I came across this Midrash Lekah Tov, which is somewhat lengthy and says a number of interesting things, including:
1) A star in the East that is to last for 15 days - and if it lasts longer, it is a sign for Israel's benefit - in the 5th year of the Shemitta cycle before the coming of Mashiah (another Midrash mentioned on earlier pages said that this is on the sixth year).
2) It talks about a brazen king making decrees against Jews - while a different Girsa refers to a brazen king in Damascus
3) Mashiah comes by a Jewish army going to Rome, surrounding it, its walls come tumbling down after Shofarot are blown (like during Yehoshua's time), the Jewish army finding its inhabitants dead in the streets, and the Jewish army taking the spoils of the city. Then, the Jews will request their G-d and David their king. Immediately, Mashiah will appear to them and announce, "I am the King Mashiah for which you have been awaiting." And he tells them to carry the gold and silver. They do so and go up to Israel.
There are a lot more details in that Midrash. Check it out for those who read Hebrew.
Either way he comes, may he come today!