The Create Object mode allows to add new level entities to the scene (Sky, Clouds, Lights, Sound Emitters, LUA Triggers, etc)
To add an object, first enter the Create Object mode by clicking its button. An additional toolbar will appear below the main one: from there you can select the type of object, finally click on the 3D Viewport to add the select object to the scene.
You can choose to create other entities that are not visible in the main selection using the Other Classes button.
From there you can choose a class, search for it, and press the
button to create an instance of it, make sure you select a folder or a
sibling in the scene tree window, otherwise it will be added to the root
of the tree (bottom).