Adjusting an ad's priority affects how it will serve compared to other ads in the same zone. For example, let's say you have three ads running in a zone -- all of which have a priority of, "Standard" (default). Now, let's say you have an advertiser who wants to buyout this zone for three days. How do you do set that up in Pro? Simple, when creating the new campaign you would set the ad to "Sponsorship" while also changing the "Priority" to "Roadblock".
As you can see, in the above screenshot there are four priority levels for ads. I've listed them below, ordered highest to lowest:
Again, changing an ad's priority will affect how the ad server prioritizes this ad with all the other ads. In that sense it's important to use these carefully.
You can change the priority of an ad via the "Ad Settings" modal, which can be found in the top right hand corner of the ad details page.
After you have the Ad Settings dialog open simply look for the "Priority" dropdown.