in your Event Calendar conf.php file:
//Date display "D m/d G:i" => Wed 08/23 20:15
$addon_conf['EventCalendar']['EventDate'] = "D, M j - g:i a";
$addon_conf['EventCalendar']['ResetDate'] = "D, M j";
D, M j - g:1 a e should format it as Wed, Jan 3 - 1:45 pm CST
but it will only work on PHP 5.1.0 or higher ... the timezone identifier was added then. It didn't work that way on my events, however.
http://us3.php.net/manual/en/function.date.php is what I use to figure out how to format it how I want.