You have the timezone set where? It should be different distro-to-distro, and GUI-to-GUI, but the system settings and those in a panel widget aren't necessarily the same. You may be able to set your user time, but only root be able to set system time, for example.
And as Jeremiah notes, there may be lag. When I was running Gnome, changing the timezone didn't change the clock until it updated say a minute later. On Debian, I've so far needed a reboot after the following (next time I need to, I'll be trying to work out 'tzselect'):
# /usr/sbin/zic australasia
# dpkg-reconfigure tzdata
Incidentally, while we're on time changes; has anybody tried out this?
Run sudo -k, then set your clock to 01.01.1970 now run sudo su and boom you're root