SQL Server 2008 adds the concept of priority for conversations. It's setup using special DDL statements, priority cannot be specified on the CREATE DIALOG CONVERSATION or SEND/RECEIVE DML statements. The DDL statements are CREATE/ALTER/DROP BROKER PRIORITY.
To specify a priority, you associate a BROKER PRIORITY object with combinations of the qualifiers LOCAL_SERIVCE_NAME/REMOTE_SERVICE_NAME/CONTRACT and the priority is associated with all messages and conversation endpoints that match that combination. The wildcard 'ALL' (or leaving the qualifier out entirely) is permitted for any or all of the qualifiers, and matching precidence is specifying in BOL under the CREATE BROKER PRIORITY syntax. The set of defined priorities is stored in sys.conversation_priorities metadata view.
In addition to this setup, the database has to be set to use priorities, with the "ALTER DATABASE…SET HONOR_BROKER_PRIORITY ON" DDL statement. The default behavior is not to honor priorities.
Once you define BROKER PRIORITY(s) and set the database to honor them, priority (default is 5) will be set on:
each message in the queue
Service Broker priorities are a much asked-for feature and its good to see it implemented. Because this is a new feature in CTP5, there are still some rough edges that need fixing. You can't set honor_broker_priority on CREATE or ATTACH database. And using the SMO scripter (Script As/CREATE on the database in Object Explorer) doesn't set honor_broker_priority either.
There are some really nice examples of the syntax and the concept in BOL. I've enclosed a really simple starter script that changes the default priority and illustrates the metadata. Enjoy.