The Order of St Michael and St George is used to honour those who serve Britain in the international sphere - so, for the most part, civil servants in the Foreign and Commonwealth Office and the like.
There are three levels of award:
CMG
KCMG
GCMG
Commander of the Order of St Michael and St George; Knight Commander of the Order of St Michael and St George; Knight Grand Cross of the Order of St Michael and St George. Only KCMGs and GCMGs are knights, and thus entitled to the honorific "Sir".
Alternatively:
CMG = Call Me God
KCMG = Kindly Call Me God
GCMG = God Calls Me God
(as explained by Bernard Woolley, in Yes Minister)