The Memberships web part displays all the memberships of the Person; even those appearing in the In Common with You web part.
By default Memberships are grouped as Owner or Member with identifying icons and sorted by name. SharePoint site memberships and DLs both contain ownership information. This information is polled and if the user is listed as an owner then that membership is shown grouped under Owner.
Users cannot create new membership groups but they can change whether a membership is grouped under Owner or Member.
Out of the box a Person's default Memberships will include SharePoint Sites and the user's Top 5 Distribution List memberships. Top 5 is determined the same as the Top 10 in the My Site Wizard recommended memberships section.