The Administrator is responsible for picklist administration. This user has the Settings button available, which allows them to access the Picklist administration. Click on your name in the top right corner of the screen.
In the left menu, click on Record Settings » Picklists.
Select which picklist you wish to edit, for example, Business » Deals » Category.
Click on the name of the picklist (in this case the Category) to display all the items that have been added to it. You can rename, delete or invalidate individual items and also change the order. You can also add another item to the picklist.
You always set up picklist items for a specific group of records. That means that the Category picklist for Accounts can have different items than the Category picklist for Contacts etc.