I discuss priority a bit in my event handling tutorial: http://jabelarminecraft.blogspot.com/p/minecraft-forge-172-event-handling.html
I believe if they have same priority they will fire in same order as the mods are loaded, but I haven't tested that.
The idea of priority is also related to the cancellation of the events because the first mod that cancels the event I believe will prevent all later mods from getting the event. However, you can actually undo that by setting receive cancelled to true...
So it really depends on what you're doing in the event. I personally tend to be "selfish" and set the priority to HIGHEST to make sure I get the event, but that is when I'm not doing anything that is likely to interfere with other mods and also not if I'm going to cancel it. If I'm going to cancel it, I'll go last but also set receive cancelled to true, since I believe most mods are intending to cancel the vanilla behavior when they cancel the event.
In the end, events are definitely a place where mod conflicts can occur and if you have multiple mods and your event isn't firing like it normally does then you need to look at the priority and cancellation policies of your event and possibly work with the other mod's author to make them play nicely together.