How do you customise a Lightning App — navigation items, utility bar, and branding?

Lightning Apps are configured in Setup > App Manager and define the user experience within the app switcher.
Navigation items: Add standard/custom objects, Lightning pages, Visualforce pages, flows, utility bar items, and external URLs. Drag to reorder. Objects added here appear in the app's navigation bar. Users can personalise their navigation (unless locked by admin).
Utility bar: A fixed panel at the bottom of the app containing utility items (components) accessible without leaving the current page. Standard utility items include: History, Recent Items, Macros, Notes, Open CTI (softphone), Einstein Chat. Custom LWC components can also be added as utility items.
Custom branding: Upload a custom logo (SVG or PNG, max 100 KB), select a primary colour for the app header. Enterprise and Unlimited editions support custom themes (Setup > Themes and Branding) with custom brand colours, logo, and default background image.
User personalization: "Allow users to personalise the nav bar" toggle controls whether users can add/remove/reorder items from their personal navigation.