Designing for long running operations

I am building an application that will receive messages from the queue and process them. The queue can be quite busy (hundreds of messages per second). Processing can take some time. If processing gets interrupted (hardware failure etc.) I want to be able to reprocess the interrupted message. Also, if processing fails I want to mark the message as failed for future analysis.

I thought of two approaches: RETENTION = ON and using state tables. What are the pros/cons Any other approaches

Thank you,
Alex