To create a new list, simply select the "Friend Lists" menu on the Chat pane, enter a new list name, and drag the names of people you want to include into the list. You can exclude lists from Chat by unchecking them in the "Friend Lists" menu. If you don't want your friends grouped in Chat at all, you can simply uncheck all the Friend Lists, and you'll then see your friends listed alphabetically.
If some of your friends aren't in a Friend List yet, they'll be included under "Other Friends."
Alongside each list, you'll notice a green switch; when you turn off the switch, you'll be logging off of Chat for that list. Friends in lists that are switched off will not be able to see that you are online or chat with you, nor will you be able to see whether they are online.
Friend Lists are useful in organizing and filtering your experience on Facebook, especially as you have more friends from different parts of your life.
To learn about other ways to use them on the site, watch this recent video tutorial.