From a Cocoa perspective it's actually called an NSStatusItem (Status Item), appearing the NSStatusBar (Status Bar).
From a user perspective (per Apple's Human Interface Guidelines), it's called a "Menu Bar Extra" appearing inside the "Menu Bar". Though I think that's a little bit stupid for a name.
Apple does warn developers from making NSStatusItem's/Menu Bar Extra's: http://developer.apple.com/library/mac/#documentation/UserEx...
However, they tend to be more robust for certain applications than a Dock icon or Dock Icon Menu's. You can have clickable buttons, have single- and double-click behavior, display graphics, etc...
On a downside, if you don't have enough screen space to show them, they'll start to disappear. They are ordered based on which app loaded theirs first and cannot be re-ordered.
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Apple's "Menu Bar Extras" don't exist within NSStatusBar. These include the clock, battery icon, bluetooth icon, etc... They live in a private API of Apple's.
Apple's always appear on the far-right, are the last to "disappear" if there's not enough space for them to fit. Unlike 3rd party NSStatusItem's, you can re-position Apple's by Control-Clicking on them and moving them around (except for Spotlight's).
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Since 3rd party NSStatusItem's are not going away anytime soon, there's a need for a Mac app (or OS X update) that'll let you condense them into some sort of manageable GUI element.
All NSStatusItems appear under a single instance of NSStatusBar. It would be possible to write an app that'll extend NSStatusBar's class (overriding it, swizzle it, etc...) which would allow you to do custom stuff with them. Perhaps add ordering support, hiding support, grouping them inside a mini-window accessible by a single "Menu Bar Extra" you click to access them.
For example (excuse the crappiness - I mocked it up in 5 min, credit goes to Snippit for the window graphic):
http://www.dave-gallagher.net/coding/menuBarMockup.jpg
It would be nice to add "lesser-used" Menu Bar Extra's to something like that, hiding them out of the way.
In the old days, a hack was used to make this work by tricking the system into thinking it was a built-in, but unused, menubar item, often the drawing tablet's status item. I believe this was done through a "haxie", from Unsanity. I'm not sure how iStat Menus does it, but I'd hazard a guess at the same way.
Disclaimer: I'm working off shaky knowledge that I learned three or four years ago, before I was even a dev.
It might have been the option-click-drag re-arranging or the option-click-drag-to-desktop to remove from the statusbar (or both of those). Maybe those have since become part of the standard API though.
Is that what happens now? They used to make the whole windowserver disappear. Not fun.
I honestly can't understand why Apple doesn't improve support for plain NSStatusItems. There's no reason why they can't have command-drag remove and reordering as well. They're just windows, after all.
On the other hand, I hide the dock on my laptop. Having a status bar item in application like this is pretty valuable for me as it allows me (in the case of Mailplane) to quickly navigate my accounts and see newer emails without focusing the main application.
As a side story, a friend sent me a VMWare image, but I run VirtualBox. Instead of converting the thing, I installed the trial version of VMWare Fusion on my Mac. Version 3 apparently has a menulette to access your VMs applications directly. After the trial expired I no longer have the option to remove the menulette, without uninstalling VMWare entirely. It used to be the case that a simple alt(option) click and drag would poof the icon away. More developers are failing to implement these "conveniences" properly.