Finder Sidebar ordering in Lion
Unfortunately you can not reorder sections in Lion as of 10.7.2. You can only reorder items within the sections. You can also remove items by holding Command and dragging the icon off the Finder window.

I'll create a Apple bug report about this because I think it would be nice to rearrange the sections too!

Update: It looks like you can hack a plist to enable this reordering functionality but do so at your own risk. This will also likely be overridden in a future OS X update.