That's a simple part. In your config.xml file of your local module, you need to add the following bit of XML:

<config>
<adminhtml>
<menu>
<mymodule translate="title" module="mymodule">
<title>My Module Title</title>
<sort_order>35</sort_order><!-- After Catalog -->
<children>
<something module="mymodule">
<title>My Action</title>
<action>URL</action>
</something>
</children>
</mymodule>
</menu>
</adminhtml>
</config>

Replace "mymodule" with your friendly module name (i.e. Cms, becomes cms). Change the sort order to fit your fancy (before or after a specific item). Note that each default item is it's currents spot times 10. So "Dashboard" is in spot 1 (1* 10 = sort_order: 10), Catalog ...

That's a simple part. In your config.xml file of your local module, you need to add the following bit of XML:

<config>
<adminhtml>
<menu>
<mymodule translate="title" module="mymodule">
<title>My Module Title</title>
<sort_order>35</sort_order><!-- After Catalog -->
<children>
<something module="mymodule">
<title>My Action</title>
<action>URL</action>
</something>
</children>
</mymodule>
</menu>
</adminhtml>
</config>

Replace "mymodule" with your friendly module name (i.e. Cms, becomes cms). Change the sort order to fit your fancy (before or after a specific item). Note that each default item is it's currents spot times 10. So "Dashboard" is in spot 1 (1* 10 = sort_order: 10), Catalog is in spot 3 (3 * 10 = sort_order: 30), etc.
So to place your menu item at the very end you could use a number like 1000 or you can place it in between certain ones (like between dashboard and sales) by using a number between 11 and 19 (inclusive).

You'll need to replace "URL" with the url you want the user to go to. If it's within the admin panel, it will start with "adminhtml" and then be followed by your module name and the action controller (and possilby the action). Something like: "adminhtml/mymodule_index" to go to the IndexController of your module.

One thing to note is that you may need to put your adminhtml module inside the core directory and not the local code directory (not sure why).

Hope that helps.