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 about which airport to fly into when they come to 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 such as 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 email destination (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.
What makes a good mail exchanger, then? The same qualities that make a good airport:
You wouldn't want to fly into tiny Reid-Hillview Airport to get to Los Gatos because the airport's not equipped to handle large planes or many people. (You'd probably be better off landing a big jet on Interstate 280 than at Reid-Hillview.) Likewise, you don't want to use an emaciated, underpowered host as a mail exchanger; it won't be able to handle the load.
You know better than to fly through Denver International Airport in the winter, right? Then you should know better than to use a host that's rarely up or available as a mail exchanger.
If your relatives are flying in from far away, you've got to make sure they can get a direct flight to at least one of the airports in the list you give them. You can't tell them their only choices are San Jose and Oakland if they're flying in from Helsinki. Similarly, you've got to make sure that at least one of your hosts' mail exchangers is reachable to anyone who might conceivably send you mail.
How well an airport is managed has a bearing on your safety while flying into or just through the airport and on how easy it is to use. Think of these factors when choosing a mail exchanger. The privacy of your mail, the speed of its delivery during normal operations, and how well your mail is treated when your hosts go down all hinge upon the quality of the administrators who manage your mail exchangers.
Keep this example in mind because we'll refer to it again later.