There are two things you need to do in order to have all the date and time information in EE appear correctly:

1. Set the server information

In the Control Panel, go to Admin > Localization Settings.  Here, you want to put the settings that correspond to the server.  So, if the server is located in, say, the Pacific time zone, then you need to set it accordingly.  Also be sure to specify whether or not the server is currently observing daylight saving time.

2. Set your information

Go to your member profile (either via the Control Panel and My Account or your regular member profile page) and go to Localization Settings.  Here, you’ll set your own time zone as well as whether or not you are currently observing daylight saving time.

Once you have both of those set correctly, then the date and time within ExpressionEngine should appear correctly.  Remember, though, if you have any entries that were posted before you changed these settings (including changes to the “daylight saving time” settings), then their date and time information will not be changed retroactively.  Also note- you may specify whether or not article entry dates reflect an offset for daylight savings time (see Honor the Daylight Saving Time setting associated with each weblog entry).

You may also go to My Account > Administrative Options and set the “Use this member’s localization settings as the master site default?” for any of the member accounts.  That will use the settings for that member as the value to use for new members and visitors to the site.