This paper introduces the Multi-wavelength Extreme Starburst Sample (MESS), a new catalog of 138 star-forming galaxies (0.1 < z < 0.3) optically selected from the SDSS using emission line strength diagnostics to have high absolute SFR (minimum 11 solar masses per year, with median SFR approx 61 solar masses per year based on a Kroupa IMF). The MESS was designed to complement samples of nearby star-forming galaxies such as the luminous infrared galaxies (LIRGs), and ultraviolet luminous galaxies (UVLGs). Observations using the multiband imaging photometer (MIPS; 24, 70, and 160{mu}m channels) on the Spitzer Space Telescope indicate the MESS galaxies have IR luminosities similar to those of LIRGs, with an estimated median LTIR ~ 3e11 solar luminosities. The selection criteria for the MESS suggests they may be less obscured than typical far-IR selected galaxies with similar estimated SFRs. 20 out of 70 of the MESS objects detected in the GALEX FUV band also appear to be UV luminous galaxies. We estimate the SFRs based directly on luminosities to determine the agreement for these methods in the MESS. We compare to the emission line strength technique, since effective measurement of dust attenuation plays a central role in these methods. We apply an image stacking technique to the VLA FIRST survey radio data to retrieve 1.4 GHz luminosity information for 3/4 of the sample covered by FIRST including sources too faint, and at too high a redshift, to be detected in FIRST. We also discuss the relationship between the MESS and samples selected through alternative criteria. Morphologies will be the subject of a forthcoming paper.