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I’ve just come across the Get/SetThreadPriority methods and they got me wondering – can a thread priority meaningfully be set higher than the owning process priority (which I don’t believe can be changed programatically in the same way) ?
Are there any pitfalls to using these APIs?
Yes, you can set the thread priority to any class, including a class higher than the one of the current process. In fact, these two values are complementary and provide the base priority of the thread. You can read about it in the Remarks section of the link you posted.
You can set the process priority using SetPriorityClass.
Now that we got the technicalities out of the way, I find little use for manipulating the priority of a thread directly. The OS scheduler is sophisticated enough to boost the priority of threads blocked in I/O over threads doing CPU computations (to the point that an I/O thread will preempt a CPU thread when the I/O interrupt arrives). In fact, even I/O threads are differentiated, with keyboard I/O threads getting a priority boost over file I/O threads for example.