In Hotmail, you can click an exclamation mark "!" for an outgoing email to let the sender know it is important.
How do I do this in Gmail?
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Sign up to join this communityA quick search seems to indicate that you can't set the priority of e-mails in Gmail, but that it does honour the settings applied by other mail clients.
See here for what it does with incoming e-mails.
For outgoing email may be you can try the Chrome extension Mark as important in Gmail.
It will add an exclamation mark at the beginning of the subject. This extension does not modify the header of the email message.