Short answer
An MX record contains a mail server and a priority. Lower priority numbers are tried first.
Priority
If several MX records exist, sending servers normally try the lowest priority number first. Multiple records provide redundancy.
Common mistakes
Wrong hostnames, missing A/AAAA records for the mail server or old MX records can make email bounce or delay.
MX and security
MX says where email is received. SPF, DKIM and DMARC complement it by helping receivers decide whether the sender is legitimate.
Common questions
Does every domain need MX?
Only if the domain should receive email. Without MX, email often cannot be delivered correctly.
Can MX point to an IP address?
No, MX should point to a hostname that then has A or AAAA records.