List views for contacts, opportunities, and projects can be sorted by clicking the wrench icon above the list and selecting a sorting option.
Other records don't have sorting options for their list views, but you can create custom reports and sort records by any field.
For contacts, you can also select your default for sorting from the User Settings > User Settings page.
When viewing any list that's displayed in a grid view, click a column header to sort by the values in that column.
One click will sort in ascending order, a second click will sort in descending order.