How do I add more categories to Mac OS X Finder's sidebar?
It's not possible to add more categories (see picture). There are:


Favorites:


For any subdirectory of the root directory
You can add custom links to folders (not files) via drag and drop 
custom searches

Shared:


Local Network, Servers, Back to my Mac, Time Capsule,...

Devices:


Harddrives (internal/external), other storage media like CDs, devices like iPhones



However,

there is a workaround which allows to add separators and changing icons.

Download the icons here. Related forum posts.