The idea of a mail exchanger is probably new to many of you, so let's go over it in a little more detail. A simple analogy should help here: imagine that a mail exchanger is an airport, and instead of setting up MX records to instruct mailers where to send messages, you're advising your in-laws on which airport to fly into when they come visit you.
Say you live in Los Gatos, California. The closest airport for your in-laws to fly into is San Jose, the second closest is San Francisco, and the third Oakland. (We'll ignore other factors like price of the ticket, Bay Area traffic, etc.) Don't see the parallel? Then picture it like this:
los-gatos.ca.us. IN MX 1 san-jose.ca.us. los-gatos.ca.us. IN MX 2 san-francisco.ca.us. los-gatos.ca.us. IN MX 3 oakland.ca.us.
The MX list is just an ordered list of destinations that tells mailers (your in-laws) where to send messages (fly) if they want to reach a given domain (your house). The preference value tells them how desirable it is to use that destination - you can think of it as a logical "distance" from the eventual destination (in any units you choose), or simply as a "top-ten" -style ranking of the proximity of those mail exchangers to the final destination.
With this list, you're saying, "Try to fly into San Jose, and if you can't get there, try San Francisco and Oakland, in that order." It also says that if you reach San Francisco, you should take a commuter flight to San Jose. If you wind up in Oakland, you should try to get a commuter to San Jose, or at least to San Francisco.
Keep this example in mind, because we'll use it again later.