Although not officially supported, you can adjust the number of Priority options as suggested by Kenny.
To do so, you should follow these steps:
Back up your database!
Determine which priorities you plan to add/remove (run SELECT * FROM Priority to see what options are available).
For each Priority you plan to remove, run the queries below against your database to see if anything is currently referencing that priority.
If any of those queries return results, you will need to update their associated rows' ixPriority column to reference an ixPriority that will still remain after you have added/removed priorities to the Priority table.
Ensure one and only one row in the Priority table has its fDefault column set to 1.
Force a refresh of the fragment cache by going to Admin -> Groups and editing a group without making any changes.
SELECT * FROM Bug WHERE ixPriority = [ixPriority you plan to remove];
SELECT * FROM Filter WHERE ixPriority = [ixPriority you plan to remove];
SELECT * FROM Mailbox WHERE ixPriority = [ixPriority you plan to remove];
SELECT * FROM ProjectView WHERE ixPriority = [ixPriorityyou plan to remove];
SELECT * FROM ShipDate WHERE ixPriority = [ixPriority you plan to remove];
SELECT * FROM Person WHERE FILTER_ixPriority = [ixPriority you plan to remove];
Note that if you are only looking to rename the existing priority options, this can be done by clicking on the logo in the upper left-hand corner of the website and then following the "Set priorities" link (or by navigating directly to http://[your fogbugz install]/default.asp?pg=pgListPriorities).
You could try deleting the corresponding rows for unneeded priorities directly in the DB. The relevant table is dbo.Priority (SQL Server). The fact that these are stored in this table by themselves (and having some familiarity with how FogBugz is put together), makes me think this should be fairly safe. The data is so simple, you could easily recreate it if something goes wrong. [Make a full DB backup anyways.]