Gmail tries to figure out what messages are important to you based on your email reading behavior and other factors. The important mail icon is shown below, here toggled ON (yellow):
You can “teach” Gmail to interpret your message importance by clicking on important messages and unclicking messages tagged yellow that are not important.
You can also apply stars to important messages -- you can sort and search by starred messages, making it easier to prioritize your work.
More stars and other tags
If you go to the Gear icon and look under the General section, you will see options for adding more icons -- colored stars, a question mark, an exclamation point, etc. -- for tagging important messages. In the example below, four symbols have been dragged from “not in use” to “in use” in the desired order. Clicking successively on the star next to an email message will toggle through the four symbol options.