You can have multiple MX records so that you can keep your current mail server up and running as you plan a migration to a new mail server like Exchange 2007. Each MX records have priorities you can set — the lower the number, the higher the priority.
I’ll write more because I am planning my own right now, but here are some good articles and tutorials.
http://articles.slicehost.com/2007/10/25/create-a-mail-exchange-mx-record
http://www.postini.com/webdocs/training/en/email_activate/email_mxrecords.html