Out of the box, the new MacBook Pro with Touch Bar has four system controls available at all times: Brightness, Volume, Mute an Siri.
While you can tap on the "<" button to the left of the brightness button to view more controls, it's possible customize the buttons housed in the Control Strip with actions you use more often than, say, Siri.
There are two methods for editing the buttons in your Control Strip.
Through System Preferences
Open System Preferences > Keyboard > Customize Control Strip. The same interface used to customize an app's Touch Bar controls will show up, meaning you can drag and drop buttons to and from the Touch Bar
Additional buttons are include actions such as starting the screen saver, a play/pause button and a do not disturb toggle.
You are limited to a maximum of four buttons in the Control Strip, and can use less if you'd prefer. Drag a button down and place it on top of an item to replace it.
Furthermore, tap on the "<" button to reveal the entire Control Strip for additional customization.
Customize the Touch Bar
When you are tailoring how the Touch Bar works for a specific app, tap on the Control Strip portion to switch editing modes. For example, if you're in the Mail app and go to View > Customize Touch Bar the edit interface is displayed. Notice the Control Strip section is dimmed, placing the attention on Mail's Touch Bar buttons. However, you can tap on the Control Strip to switch modes and begin making changes.
A few days in, and I haven't figured out which controls I want access to at all times. But I guess that's the magic of the Touch Bar, it can change as often as I want.