To be honest I'm not completely sure that his earliest devotees dreamt that he was the long-awaited Messiah. John the Baptist probably thought so, but how can you take seriously a man who lost his head over a stripper?
I think it's more likely that his earliest followers were swept up by his charisma and by the power of his intellect. Realise that many of them (but not all) were simple, uneducated folk and when they were faced with a teacher who was willing to take on the establishment (Judaism as interpreted by the Pharisees) and who proved to be at least their intellectual equal, they were swept along with him.
Much more interesting is the way the new religion spread through the Roman Empire, largely due to Paul's capable evangelism. It was probably the best piece of international marketing seen until Ronald McDonald conquered the modern world.
They all expected him to throw out the Romans, reinstate Jewish sovereignty under a Davidic king, and start an indefinite period of prosperity and peace to Israel. When none of those things happened, some of his followers changed the objective to some obscure heavenly kingdom blah blah.
They expected what Lior and Walt said, but then when it didn't happen, they changed the mission and he became the person to rise from the dead and rescue mankind, otherwise the gospels and other NT biblical information would have been written before 40 years after he died. They had to get their story straight.
Before Jesus coming to this Earth . The only way that sin could be forgiven was by the shedding of blood. And Jesus told them that. So Jesus himself knew that this was his mission. Thats why today we don't have to shed blood for our sins. That price has been paid. When Jesus hung on the cross he looked up to heaven and said to his father "it is finish"
Let's use Judas as an example. He thought that by putting Jesus in the position that he betrayed him into that Jesus would establish his kingship before all the people as being the Son of God, and overthrow the Romans (after all, they followed him as king). But, when he saw a bloody and beaten Christ, he realized that he had betrayed a man innocent of charges. Some say it was guilt, but what was in him, left him alone with it. It was foretold by the prophet Jeremiah that this would happen and the coins thrown out in the doorway. The apostle Thomas doubted that Jesus could possibly have risen from death and said the only way he would believe it was him was if he put his hands where he saw them pierce the Lord in his side. Alas, it was proven and he was specifically ASKED to come and put his hands in the wounds. But, they expected him to establish his kingdom. They didn't realize that it required a building of it for generations and would not be complete until all things have been fulfilled.