Well, a small correction. Certain ones, most notably iStat Menus, can be moved with command-click.

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.