How do I set up Apple Mail to show me e-mail priority?
My recommendation is to use Apple Mail's rules to customize how you want these displayed—you can make them stand out even more than a simple !! in the message list by setting up a Rule in Preferences:



In this case, specify that you want to apply the rule to messages with high priority. Then choose the formatting that you want. I chose to list messages with a red background. When new messages arrive with a high priority, they got a red background in the message list.