This will create a list of all your posts. They will be ordered alphabetically by category. Category names will be anchor links so you
can easily link to them. You can put this as a list in your side bar or you can create an Archives page, whichever you prefer.

Version 1.0 works with WP prior to version 2.3
Version 2.2 prevents tags from showing up as a category in your list
Version 2.1 fixes errors when table prefix is not wp_