A system in equilibrium corresponds to a free energy minimum which is a compromise between a minimum of the internal energy with a maximisation of the entropy. When you introduce, say, an unmagnetised ferromagnet to a magnetic field, alignment of the atomic magnetic moments with the external field reduces the internal energy. So if the field is strong enough (i.e. a great enough reduction in internal energy) then magnetisation can occur at the expense of a decrease in entropy.
Note, however, that the total entropy of the universe does not decrease since you need to use a heat engine (e.g. your arm) to move the ferromagnet through the magnetic field which will itself generate entropy.