You should receive at least two MX records, and part of their setup will often include different priority numbers. This tells mail servers how to send the mail. If one or more server is unavailable -- no problem -- mail can be routed via your second, third, etc. mail server (using that server's MX record).
For example, if you set up G Suite for your email, your MX records would look like this:
The priority is the number shown beside MX. The lowest number mail server (which is shown to the right in the Value field) is 10 in this case, and it's tried first for delivering email. If it's too busy or not available, then the next highest number (20) is tried.
MX records can't have a priority of 0, but 5 or 10 is common for the first one. If you are given instructions to use a priority of 0, just use 1 instead.
If you would like to know more about the various types of DNS records and how they're used, check out our guide: What is DNS? Here's what you need to know.