In some themes, when you create new pages you automatically get tabs for them in the header (“top menu” or “top navigation”). Other themes have no header tabs (so you need the Pages widget for the sidebar or bottombar).
No header tabs:
[*] Actually in the footer area!
[**] Optional (Appearance > Theme Options > Show top navigation).
[***] Monotone actually does have two built-in page tabs (Archive and About), but that’s all you get: creating new pages won’t give you new header tabs. You can sidestep this limitation by setting a static front page as well as a posts page (see here), and writing links to your pages in the static front page.
Other notes on header tabs:
1. Only parent pages show up in the header (but see post on dropdowns and links to child pages). If you create child pages, you normally need the Pages widget anyway. But you can also take advantage of that to intentionally hide a page (if you have the Pages widget in the sidebar or bottombar, you edit it to exclude that page from showing there as well).
2. Contempt, Day Dream, Digg3, Monochrome, Notepad, Under the Influence and Unsleepable have room for one row of header tabs only.
3. The built-in search box hides the rightmost tab or tabs in Koi and Misty Look, clashes with them in Neutra. In Koi and Misty Look it can be disabled (Appearance > Theme Options).
4. In iNove and Monochrome the header tabs can be pages or post categories (option set under Appearance > Theme Options).
5. Enterprise, Motion and Titan have two sets of header tabs: pages and categories. In Motion, category tabs can be deactivated; in Titan, category and/or page tabs can be deactivated (under Appearance > Theme options).
6. In Monochrome, Titan, and Under the Influence, you can also exclude individual pages and/or categories from showing in the header (again under Appearance > Theme options). To do that, you need their ID numbers: go to Pages>Edit or Posts>Categories, hover over page or category title, look at the end of the permalink shown in the progress/status bar of your browser.
7. Brand New Day, Dusk to Dawn, Oulipo, Retro MacOS, Suburbia, Sunspot: tabs actually in sidebar.
8. For the special Home/Front/Blog tab see here.
9. In some themes you can turn the page tabs into links to other webpages; see this post.
Update: Instead of the regular set of header tabs, you can now display a custom one (created via Appearance > Menus) comprising any of your pages, any of your categories, and any links to other webpages. See the official doc as well as my guide. Beach, Comet, Enterprise and Imbalance 2 support two custom header menus; Shaan and Vostok also support two custom menus, but the second one is in the footer area; Nuntius supports three custom menus (two in the header and one in the footer).