You have two options, you can use the pre-built system objects that come with the out of the box installation and are reference lists, or you can create new ones.
I personally did a similar process to the one I believe you're doing here and I took the objects like "Location" from System and then dragged and dropped that on to the object I was building the process on. So drop on to Request on Request Management if you're doing this in Request. I make it a one to one relationship. As far as department goes, thats an attribute on user but not an object, so you could create an object under system called Department, make the behavior reference list.
You'll then have to build a window for it. Then you should see it under administration, and you can add the options that would be available for it from a drop down selection. Then you'd have to drag and drop that on to whatever object you want to see it on, just like the location example above.
Hope that helps.
oh and the quickest and dirtiest way of doing it is to just create a new attribute of type integer 16 and fill in the Allowed Values property of the attributes property. That you need to be careful of though if you're doing reporting because the actual values will be the numbers and not the text you use for the allowed values. Thats why Im never a huge fan of this option if I need to put that data else where in a report or for importing into other objects.