There is no GUI way to show the date or the day (or adjust the time format) in Unity's indicator-datetime application in Natty.
I blogged about this today here.
Basically, this can be adjusted via dconf-editor (under /apps/indicators/datetime) from
Click on the Clock and choose "Time and Date Settings":
For 11.04 on the command line:
For 10.10 (command line only unfortunately):