Go to System Preferences » Language & Text, denoted with a blue flag.
Choose the 'Formats' tab from the top menu. To the right of the 'Times' heading select the Customize... button. Another small window drops down and you'll see a list of time formats for Short, Medium, Long and Full formats.
Click on the small white arrow next to the hour space bubble in each of the formats and choose 0-23 to change time formats to 24-hour format. You'll notice that the Region becomes 'Custom' instead of 'United States.' Finish by selecting OK.
I had iCal open and the time stamps of my events changed immediately.
[crarko adds: I tested this, and it works as described. This may change the time display format for things other than iCal in the process, so be aware of that. There was a previous hint about setting an iPhone to stay in UTC/24-hour format as well.]

