As mentioned the easiest, quickest and most humane way is picking them up by the tail and swinging them to hit their head/neck on a hard object. Just dont use to much force and their will be no mess, if you use slightly less force than is required for an instant kill, it should knock them unconscious so they wont be suffering untill you finish them off. With pinkies the best method is just throwing them at a hard surface, it doesnt sound nice but it kills them instantly and i have never had any mess.
CO2 is only better if you are to squemish to kill them with blunt force, if done incorrectly it isnt humane and it also doesnt work well on young rats. Its also a lot of stuffing around and time wasting.