Various scenarios are considered where some information is more important than other and needs better protection. A general theoretical framework for unequal error protection is developed in terms of exponential error bounds. It provides some fundamental limits and optimal strategies for such problems. New class of message-wise unequal error protection problems are also introduced. Even for data-rates approaching the channel capacity, it is shown that a crucial part of information can be protected with exponential reliability. Channels without feedback are analyzed first, which is useful later while analyzing channels with feedback.