This website provides a really clear explanation. http://pages.cs.wisc.edu/~vernon/cs367/notes/11.PRIORITY-Q.html
In short, a priority queue can be implemented using many of the data structures that we've already studied (an array, a linked list, or a binary search tree). However, those data structures do not provide the most efficient operations. To make all of the operations very efficient, we'll use a new data structure called a heap.