For example if you cast a planeswalker and your opponent lets it resolve, you get priority back and are able to activate one of the abilities on the planeswalker then your oppoent could destroy/exile it. The ability still went on the stack though and will resolve. Your opponent can never destroy it before you are able to activate one of the abilities on it, that is however as long as you activate it before doing any other action like trying to go to a different phase or cast another spell.