Everyone is right, this is a new type of alert that the FCC is starting to use across the nation. It is supposed to alert you of anything that may harm a population.
To turn it off, go to your stock messaging app. Go into settings, and scroll all the way to the bottom. Click "Emergency Alerts" and uncheck any that you don't want. The only alert you cannot opt of is the Presidential Alert. Also, you do NOT get charged for anything.
Also, does anyone know if you will still get this alert if you do not use the stock messaging app? I'm using goSMS.