If you hold down the command key, then you can drag them to rearrange (or remove) them. This works with all standard menu extras, although it won't work with some third party ones.
Apple button thing and click on the icons and drag them. I think it only works for system menu bar icons, so it doesnt work for icons like Adium and MenuMeters, etc.
Most third party menu bar apps will not go before the apple icons (MenuCalenderClock being an exception), however if you want to order your third party apps, just open up them in order you want them from right to left.