Let us for a moment create a scenario here that may help you get the picture.

Here is the situation;

You are a British real estate agent selling property in both Middlesex and Sussex.  When people are going to send you Email you ask them to include the area in the subject line.  Now you start creating Message Rules (without Stop Processing).

If you only had rule #1, Middlesex mail would get moved to the proper folder and the rest would stay in the Inbox.
When you add rule #2, both Middlesex and Sussex mail would get moved to the proper folders and everything else would stay in the Inbox.
When you add the anti-porn rule (#3), every message that contained "Sex" including Middlesex and Sussex would be marked as read and deleted because the previous actions are not performed until the message is checked for all qualifying rules.

By using "Stop Processing" in each of the first two, those messages are not subject to following message rules.  That would mean that the appropriate rule would be applied to each message.  Stop Processing more rules only applies to the qualifying messages and does not stop your rules from running on the next message.  That is the part that users generally are unaware of.  Once a rules check on a qualifying message comes across the Stop Processing More Rules, any following rules will not apply to that message only.

Using the same sort of reasoning, you can see that the order rules are applied could also be important.  If Rule #3 were applied first all of the Mail for Middlesex and Sussex would also be deleted.  Use rules that sort messages first followed by rules that delete messages.