There are several different ways to set an item's priority.
On the dashboard, simply click and drag item cards around in the columns.
In the Organizer (formerly the Items view), items can be reordered by hovering over the item followed by clicking and dragging the handle that shows up on the left of the estimation bubble to the left of the card.
In the Organizer's Someday column there are buttons that will show up on hover that will move the item to the Top or Bottom of your Backlog.