There are quite a few things that you can add through System Preferences – for example, stuff like Bluetooth, Airport status and volume, for example. To add them, just look under the relevant pane in System Preferences and tick the box to add to the menu bar – so, for example, if you want to ad 'Displays' to your menu bar look under System Preferences/Displays and click the box next to 'Show displays in menu bar'. In addition to this there are apps that add icons to your menu bar, either by default or as an option in the apps Preferences.
To remove either untick the option as described above or – even easier – Command-click and drag the icon off your menu bar. It'll disappear in a little puff of smoke. You can use Command-click to drag the icons around your menu bar as well, so you can change the order.