It is not intuitive, but there is a place to change the time format in iCal to 24-hour format.
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.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20100810131325943