i am using jboss-2.2.2 on windows platform.
You can not use setMessagePriority to assign message priority before putting it into the queue. Perhaps that seems a bit odd, but this is a JMS spec issue, not a JBoss issue.
You must pass the message priority in as a parameter to QueueSender.send( ... ) or TopicPublisher.publish( ... ) in order for your message to be assigned the priority.
I have had great success with message priorities and MDB's in JBoss 2.4.3.