While processes may not share the same memory space, they do in fact share the same CPU. If you watch the Task Manager's Processes view, you can actively watch the percentage of CPU time that each process is using.
Certain tasks require higher availability to the processor. For example, the NetLogon service runs at High priority so that it can be accurate and respond to network logon requests faster.
You'll also notice that the taskmgr.exe itself runs at High Priority. This allows it to take precedence over other processes to make your life easier when trying to kill a runaway app using End Process, for example.
Before Windows NT, we had no control over individual priorities -- Windows 3.11 and earlier would only let you set Foreground Priority and Background Priority. And even this didn't work very well.
Now that we're using an OS with preemptive multitasking capabilities, we're finally able to control exactly how much of the CPU time a process is allowed to have.
Beware of setting any process to Realtime -- you're effectively giving it free reign over your entire CPU -- including giving it more priority than your Task Manager, with its "End Process" button.