You can run a program with different nice, by default is 0 and the nice value is between -20 to 20. By changing the nice value, you are changing the prirority of an execution. -20 is most favorable scheduling and 19 is least favorable.
So to start gmplayer with higher priority.
sudo nice -n -10 gmplayer
You need root privilage if you want to run specified nice value less than 0.