Priority: who has it and when?
Putting on my judge hat for this one.
Priority is the Magic system's way to determine who can take a game action at any given time. You can't cast a spell, activate an ability, or take a special action (such as turning up a morph creature) unless you are the one who currently has priority. It's poorly understood by many players because in a casual setting like Commander, we play with a lot of implied shortcuts. Consider the following turn:
Miana untaps her lands, draws for the turn, casts a Burnished Hart, then passes the turn.
It's not a very eventful turn. It's unlikely that an opponent will want to intercede at any point, so it's entirely reasonable for Miana to just play out her turn like this. If Miana and the other players at the table wanted to handle priority passing 'properly', though, it would go like this:
Miana untaps her lands, goes to her upkeep step and passes priority. Each of her three opponents passes priority. Miana draws her card for the turn and passes priority. Each of her opponents passes priority. Miana, now in her precombat main phase, casts Burnished Hart, which goes onto the stack, and she passes priority. Each of her opponents passes priority, and Burnished Hart resolves. Miana passes priority, and each of her opponents passes priority. Miana goes to her beginning of combat step, and passes priority. Each of her opponents passes priority. She goes to her declare attackers step (even though she doesn't have any creatures that can attack), declares no attackers, and passes priority. Each of her opponents passes priority. She goes to the end of combat step, passes priority, and each of her opponents passes priority. She goes to her postcombat main phase, passes priority, and each of her opponents passes priority. Lastly, Miana goes to her end step, passes priority, and each of her opponents passes priority. Nothing happens in the cleanup step and so, finally, it is the next player's turn.
You can see why tracking priority like this is untenable. This turn is about as uneventful as they get, and yet, between all the players at the table it would require the individual passing of priority no fewer than 36 times. Commander games, without exaggeration, would last 15 hours.
But just because we don't slavishly obey priority passing in the course of a commander game (or any game of Magic, regardless of format) doesn't mean that we should be ignorant of how the system works. There are some common occurrences in games where I see players try to do things that aren't allowed because they don't understand how priority works, and there are other times where having an understanding of priority can help remove ambiguity in a complicated scenario.
Before I go into some examples, here are the basics of how priority works:
The active player (the person whose turn it is) is the first to receive priority at the start of steps and phases, and is the first to receive priority after spells and abilities resolve.
Nobody gets priority during the untap step, nor does anyone get priority during the cleanup step (unless something that happens during the cleanup step causes an ability to be put on the stack- think The Gitrog Monster).
If there is a turn-based action associated with a step, that happens first, before anyone gets priority. For instance, the active player always draws first during the draw step, then gets priority. Likewise, in the declare attackers step, the first thing that happens is that attackers are declared, and then the active player gets priority.
If there are triggered abilities that trigger at the start of a step (Such as Phyrexia Arena's upkeep trigger), those abilities are placed on the stack before the active player gets priority.
Priority is passed in turn order. Unless someone has played and activated an Aeon Engine, that's to the left.
When a player has priority and takes a game action, they retain priority and can take another game action (so when someone casts a spell and says "and holding priority, I then do /this/", they don't need to say that, they're just making it explicit that they're not passing priority as we so often do after taking a game action).
If everyone passes priority in succession, the spell or ability on the top of the stack resolves. If the stack is empty, the game progresses to the next step or phase.
When people get priority wrong, it's usually from the assumption that they can cast instants/activate abilities at any time, and to be fair to them, that's usually what we're told when someone is first teaching us how to play Magic. I don't expect people to try to explain to a brand-new player the intricacies of priority, nor do I think they should. But once someone has been playing the game regularly for a year or longer, I think it behooves them to know.
Let's have some examples, starting with the most common:
The active player casts a planeswalker, and it resolves. An opponent tries to destroy it with Beast Within before its controller can activate one of its loyalty abilities.
After the planeswalker resolves, the active player gets priority, and if their next action is to activate its loyalty ability, it goes on the stack. The opponent gets the opportunity to cast Beast Within with that loyalty ability on the stack, but not before it gets put on the stack.
Exceptions: If the planeswalker entering the battlefield causes a triggered ability to trigger- say the planeswalker in question is Gideon Blackblade and there's a Soul Warden on the battlefield- the opponent will get priority while that triggered ability is on the stack, before a loyalty ability can be activated. Not that Gideon Blackblade would be a legal target for Beast Within, but- you get the idea. They've got Anguished Unmaking instead.
If the planeswalker is being cast by the non-active player (say, The Wandering Emperor), when it resolves the first player to get priority is the active player. If it's their main phase and the stack is now empty, they could even use a sorcery to destroy her before any of her loyalty abilities can be activated. This is unlikely to happen though, because The Wandering Emperor is almost always cast during the combat phase.
Let's go to the next example:
Cole casts a creature on his precombat main phase and after it resolves, says, "Ok, I'm attacking Ryan with these three creatures," and turns them sideways. Ryan says, "I cast Cryptic Command, choosing to draw a card and tap all creatures my opponents control." Cole claims that since he already declared them as attackers, tapping the creatures doesn't stop the attack.
Cole is correct in that tapping an attacking creature doesn't remove it from combat, but more importantly, he didn't allow Ryan the proper opportunity to cast the Cryptic before the declare attackers step. In order to progress from the main phase to the beginning of combat step all players must pass priority, and again to go from the beginning of combat step to the declare attackers step. Cole should have said something like "going to combat", "pass priority", or "moving to attackers", especially if one of his opponents has open mana. If this happened in a game at my lgs and I was called over to adjudicate, I'd rewind the turn to the beginning of combat step to allow Ryan the proper chance to cast his spell. If Cole had gone through the steps properly in the first place, it's possible that Ryan wouldn't have cast it anyway if he didn't know that Cole was planning to attack him.
When I'm playing, I try to avoid situations like this as much as possible. If I have a spell like Cryptic Command in my hand and I know there's a chance I might want to tap down a player's creatures before they declare attackers, I'll say something like "I might have effects before combat" at the very start of their turn so that they don't blow straight through like Cole did. Yes, it might clue them in to the fact that I have Cryptic Command (or a similar card) in hand, but I find it's worth it to maintain an above-board, friendly atmosphere.
Ken casts Wrath of God to clear a cluttered boardstate. Justin has a whole bunch of creatures, one of which being Corpse Augur, and a free sacrifice outlet in Viscera Seer. Kiera has a Reveillark, a free sacrifice outlet in Ashnod's Altar, and a Karmic Guide in her graveyard. Mike has a Tormod's Crypt.
As commander players we have the bad habit of responding to board wipes or other large game-state-altering spells without regard to the relative order of our actions to our opponents'.
"Before I lose my creatures, I'll sacrifice them to Viscera Seer to scry 1 for each."
"I'll sacrifice my Reveillark to the Altar to recur Karmic Guide, get back Reveillark, sac Karmic Guide, rinse and repeat to make infinite colorless--"
"Hold up- when you sacrifice Reveillark the first time, I crack the Crypt to exile your graveyard."
"Oh, wait, I have a trigger from my Corpse Augur. How many creatures were in each player's graveyard when this died?"
It can be easy to make a mess of things. In a situation like this, it's best to take actions one at a time, keeping track of who has priority, to ensure everything gets resolved properly.
"Ok. Ken, Wrath of God is on the stack. Do you have anything you'd like to do before you pass priority?"
"Ok, Justin. You have priority."
"I will sac all of my creatures to Viscera Seer, holding priority each time. My Corpse Augur triggers. I'll target myself. Pass priority."
"Yup. As much as I'd like to use my Crypt to prevent Justin from drawing, I can't let Kiera get infinite mana. I pass."
"Ok cool, so my Augur trigger resolves. I'll lose 7 life and draw 7."
"Since an ability just resolved, priority goes back to Ken, Wrath of God is still on the stack."
"Let me see what I've drawn- no, I'm good, I pass."
"Pass."
"Hm. Yeah, I'm just going to let the Wrath happen."
"Ok, Wrath resolves, all of Kiera's creatures are destroyed, Reveillark triggers."
"I'll target Karmic Guide and Solemn Simulacrum with the Reveillark ability."
"A spell just resolved, so Ken has priority."
"And here I crack my Crypt to exile Kiera's graveyard. Any responses?"
"All right, the ability fizzles. Geez, where were we? Right, Ken's main phase. Go ahead, Ken."
Notice that when Kiera's Reveillark ability is placed on the stack, she has to choose targets for it, even though she doesn't have priority in that moment. Sometimes players have to make choices when they don't have priority, such as choosing targets for a triggered ability like this, or making choices during the resolution of a spell.
An astute reader will notice that Justin never ended up scrying. Oops! But these players are still in a much clearer board state than when they disregarded priority.
Hopefully this post helps demystify how priority works. If you have questions or need clarification on something (or think that I got something wrong-- it's always possible), my asks are open.