Found it :p

You can add new styles / templates to your FCK editor by simply adding your preferences in

dotnetnuke\Providers\HtmlEditorProviders\Fck\FCKeditor\fckstyles.xml

You need to close and open a new browser to see the changes.

Found this thread while trying to do exactly that today. I think I figured out a pretty good way to do it without having to change anything in DNN core.

First I'll assume that you have a separate skin for admin/edit pages. In that skin you'll be running a couple lines of JavaScript to change the FCKEditor configuration. If you use jQuery, just place this code at the bottom of your admin skin (or if you're like me in an external file):

Basically this code just scans the DOM for the IFRAME that uses the FCKEditor Provider. When that IFRAME is loaded, the FCKConfig object is modified to point to a custom fcktemplates.xml. The DNN FCKEditor Provider already allows for portal and even instance level configuration of styles. These can be changed by clicking on "Show Custom Editor Options" under the FCKEditor on any edit page. I know there's some tutorials around on how to do that, probably on dnncreative.com.