Date and Time: This item will show the current system date and time of your Mac. It can be configured to show many options with the current date and time. You can also configure the item to show a analog clock in System Preferences.
AirPort: This icon shows the current strength of the signal of the wireless network you're connected to. Clicking it will also allow you to do other things. You can turn your AirPort card off by clicking on the first option in the menu bar. You can see a list of networks, and connect to that wireless network.
Time Machine: When you're Mac is backing up its data to an external storage device, it show indicate on the Time Machine icon. If you click on this item, you'll be able to see when the last time your Mac was backed up with Time Machine.
Sync: If you're a MobileMe subscriber, you might see this item in your menu bar. It will indicate when your Mac is syncing data to MobileMe.
Power: If you're using a portable Mac, you probably have a battery icon in your Menu Bar. This icon can indicate many things about your battery and its status. If you're Mac has been plugged in and is fully charged, the item shows a plug inside the battery icon, indicating that it's fully charged. If it shows a line, you're battery is currently charging. When you're using your battery, it will show a battery icon indicating the current amount of power in the battery.
You can also set this item to show the current percentage of charge of your battery, or its estimated time you can continue to run off the battery. If your battery gets below 25%, the battery item will display red. It will show an X inside the icon if there's currently no battery inside your computer. Also, new in Mac OS X Snow Leopard, this icon will also indicate if your battery in your Mac will need to be replaced soon, or if it should be immediately replaced.
Here's some others menu items that you might have also seen on your Mac:
Spaces: If you're using Spaces on your Mac, you can enable a Spaces menu item, which will display a number of the current space you're in.
Screen Sharing: If your Mac is currently connected to something else with VNC, like Steve Sande does for his clients, you'll see an icon on your menu bar when your Mac is connected.
There's also many other menu items that are a part of Mac OS X that might in your menu bar, so these aren't the only icons you might be seeing.
There's also 3rd party applications from developers that use menu items to indicate activity, including a few applications that some of us here at TUAW use.
Facebook Notifications: This application for your Mac, which is just visible by its menu bar icon, indicates any new notifications from Facebook (like Friend Requests, messages and comments), by turning to blue. It also displays a preview of the notification below the menu bar also.
Tweetie: This application for Twitter on the Mac (that's also on the iPhone) displays an item in the menu bar when it's running. This icon will turn to blue when there's a new tweet in your timeline, a mention, a direct message, or a search term.
Twitterrific: Another Twitter client for Mac and iPhone, this one practically lives in the menu bar, floating atop windows until dispatched back into its nest up top.
iStat Menus: Yet another favorite of TUAW bloggers, this menu item can display all sorts of hardware information from your Mac.
Adium: This popular IM app for Mac also can display a menu bar item when it's running. This item can indicate many things, like when you receive a new instant message.
These menu items might also have some hidden functions you might find useful. These are usually activated by holding down the Option key on your keyboard when clicking on the menu item. Here's a few of these functions for some of the most commonly used menu items. In the Bluetooth menu item, there's many things that are displayed, like the version of the Bluetooth firmware, and access to some other Bluetooth applications, in addition to other Bluetooth details. There's many other extras in other menu items, so try it out yourself.
What's the menu item you're always keeping a watch on? Leave a comment below and let us know!