There are multiple places where you can specify priorities of features and their labels, as well as setting priorities between other layers and their labels.

Under Layer Properties, choose the Labels tab. Toward the bottom, choose Label Placement Options. Within this dialog, choose the Conflict Detection tab. You can set both the Label Weight and the Feature Weight. Labels and features are weighted as High, Medium or Low. The higher the weight, the more likely the label is to be placed, and the less likely the feature is to be overlapped. You can also determine whether or not you will allow overlapping labels. This will increase the number of features that are labeled, but will create a lot of clutter on the screen.

To review all the labels and features for your map, you can also look at Conflict Detection for the whole data frame. Right click on the data frame, and choose Properties. Select the Labels tab. You can use the arrows on the right to change the order of importance for each layer. Click the Conflict Detection Rules button to review the feature and label weights for all the layers.