I've spent more time than I care to admit trying to figure this out.
I want to create a new ticket status called "Archive." I created one under Manage-->Lists-->Ticket Statuses, state is "archived" and description is "test archive"
But on the main ticket list, Archive doesn't show up as an option under the "Change status" button. Also, Settings-->Tickets-->Default Status, only two pre-existing statuses show.
Usually when something like this happens, it's because a setting at a more local level is interfering.