There's the "Priority Inbox", first of all, under your Labels. You can set the Priority Inbox to be the default inbox under Settings.
"Mark Important" manages the importance of that particular email (look, redundant Swype email because I was already in the beta before yesterday!). You can do the same thing while viewing an individual email (no screenshot). It's context-sensitive: on emails that are "important", you'll get the option "Not important".