Pricing groups are a building block for the pricing matrix. Most sites are unlikely to use a pricing matrix of any more than a single, default pricing group that applies to everyone.
When calculating which pricing group is effective, the highest priority is evaluated first, then the next highest and so on until no pricing groups are left to evaluate.
Pricing groups can be timed (set Start time and End time) or require membership of a security group (Group). It's also possible to hide a pricing group - this will cause it to vanish from the pricing matrix. If a pricing group does not have pricing for a product it will fall through from that group down the priorities.
To create a "default" pricing group, do not set Group or Start Time/End Time and the group will be set as the default.