Once you start thinking about relativity, gauge fields, qft, etc, it's easy to forget that the massless KG equation is actually just a fancy name for one of the simplest and most common equations in physics:
$$ (\partial_t^2 - \partial_x^2) \, \varphi = 0 , $$
the wave equation!
The most familiar example is waves on a string. Here's the answer in that context:
$$ (\partial_t^2 - \partial_x^2 + m^2) \, \varphi = 0 $$
With $m=0$ you are talking about waves on a string, where each little string segment is coupled only to its neighbors. (We call this the "wave equation".)
With $m\neq 0$ each little string segment has a harmonic restoring force back to its equilibrium displacement, in addition to neighbor coupling. (I'd call this the "wave equation with dispersion").
The value of $m$ tells you the strength of the harmonic restoring force at each point, relative to the strength of neighbor coupling.
Okay, so why "massive" and "massless"? A few reasons.
Look at the dispersion relation $\omega = \sqrt{k^2 + m^2}$.
In quantum mechanics $\omega \sim E$ and $k \sim p$, roughly speaking. Translating, the dispersion relation looks like $E = \sqrt{p^2 + m^2}$ which is the relativistic energy for a particle with rest mass $m$.
Normalized wavepackets have a minimum total energy $m$. (This might not strictly be true but the idea is right. Didn't feel like working out proof. The point is that in Fourier space (at a fixed time) you're summing up energies related to $\omega(k) \geq m$.)
Group velocity of all wavepackets is $c$ (of course $c=1$ here) if $m=0$. If $m>0$ all wavepackets have group velocity less than $c$. In the massive case $m>0$, low energy normalized wavepackets just sit still (all "rest mass" energy, no kinetic energy), whereas very energetic normalized wavepackets move almost at $c$ (high kinetic energy).
When you go quantum, the properties 2 and 3 of classical wavepackets basically translate to the corresponding properties of quantum excitations.
So basically the answer to your second question is: Because the KG dispersion relation corresponds to the relativistic energy equation for a particle of rest mass $m$, and the associated wavepacket dynamics agrees with the analogy as well.
I'm sure there are many more ways to think about this, some mathematically more rigorous, but I think they're all fundamentally related to that basic fact and the properties above.