The files that come with the OS are in /System/Library/CoreServices/Menu Extras/, though they don't have to be in that folder to work, they could be anywhere on the drive, even within an application bundle. The plugins all seem to end with .menu, and those files can either be dragged up to the menubar, or you can just double-click on them, or most of them have options somewhere to turn them on (i.e. Energy Saver has the box to enable the Battery.menu extra, at least on my PowerBook).
Cmd-dragging lets you move extras around within the menubar, and cmd-dragging an extra out of the menubar causes it to unload. Whenever you place something in the menubar it will be remembered on future logins.
Pretty nifty things IMO, their lack of color makes them look so bland compared to the old docklets however...
