What happens when many interrupt requests happen at the same time? My initial guess is that you would have to queue the lower priority one, but what happens when for example 5 or many more requests happen at the same time? Are all these requests put in a queue or are they lost forever?
In most cases, interrupt requests are processed, in priority order. Typically this does not involve a queue, but instead, lower priority interrupts continue to be asserted until such time as they can be processed. 

A typical example would be the interrupt controller in a PC. This traditionally has a number of inputs, each assigned a priority. The peripheral signals its request. This remains until the processor clears the interrupting condition.