NIKLAS BRUNBERG  You have to set them on a per application basis. Go to the Applications pane, double-click any application you wish to have a special priority, select the Messages pane and you can set the priority for notifications from that application.  
(Version 1.1)

GCOGHILL  Ah I see. Some Growl styles allow you to tweak the color of the priorities, that's what I was thinking you were referring to with priority support.

Thanks for the info. I have no way of testing the priorities fro GrowlHUD, but I am sure they'll look great.  
(Version 1.1)

NIKLAS BRUNBERG  I see. This is a Web Kit style (little more than CSS, XHTML and graphics) and the colors for the priorities are set as graphics. To be able to control additional parameters I would have to redo this as a Cocoa (Objective-C) style.

I have been thinking about converting this to a Cocoa style because it would result in more control for users such as you and it would also mean a lower memory usage (because some issue with Growl and Web Kit styles leak a bit of memory). However, those plans are not close.  
(Version 1.1)

GCOGHILL  Interesting, thanks for the info. As-is, it's still a great Growl style for basic usage. Thanks again!  
(Version 1.3)

NIKLAS BRUNBERG  I have made the colors more neutral for those priorities. Not sure about making the font in the title bar bold. I want to hold it true to the Apple style and if you look at the HUS:s in iPhoto and Safari you will see that they are normal weight.  
(Version 1.1)

JOBBY  Thanks for that — I'd forgotten Apple didn't make the title bars bold. The colours look a lot better, though :)  
(Version 1.1)