An information-theoretic framework for unequal error protection is developed in terms of the exponential error bounds. The fundamental difference between the <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">bit-wise</i> and <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">message-wise</i> unequal error protection ( <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">UEP</i> ) is demonstrated, for fixed-length block codes on discrete memoryless channels (DMCs) without feedback. Effect of feedback is investigated via variable-length block codes. It is shown that, feedback results in a significant improvement in both <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">bit-wise</i> and <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">message-wise UEPs</i> (except the single message case for missed detection). The distinction between false-alarm and missed-detection formalizations for <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">message-wise UEP</i> is also considered. All results presented are at rates close to capacity.