some apps will add things to the menubar when you launch them (like weatherpop). These icons can only be removed by quiting the app (usually there is a quit selection in the app's menu).
True menulings (which apple reserved only for itself in 10.2) should be stored in the Menu Extras folder in the library. These are also added by double clicking them. Unlike other menu icons, these will auto-launch when you login without needing to set a preference or needing to add the item to the login pref pane. True menulings can also be removed from the menubar by by cmd-click-drag.