As an example of the Gear menu, in the Finder, the Gear menu shows options to create a new folder or get info about a file.
Look for the Gear in many applications, including the Finder, Mail, and the iPhoto.
The gear can also be used to indicate Smart playlists, albums or groups in applications such as iTunes, iPhoto and Address Book.
Lion note: Since Lion drained all of the color out of its icons, the gear icons that indicate "Smart" items now look pretty much the same as the Gear for the Gear menu. If you see a gear icon directly to the left of an item in a list, that probably indicates a "Smart" item and not a Gear menu.