Looking at the documentation page for wp_list_pages, there is a depth parameter:
depth: (integer) Numeric value for how many levels are to be displayed in the hierarchy of pages. Defaults to 0 (display all pages); depth=-1 shows no child pages; depth=1 shows only the top pages; any value given greater than 1 displays the sub-pages up to that level in the pages hierarchy.
At first glance, there is no such parameter available in the wp_list_categories tag. Any reason for this? This seems like a piece of functionality that is quite useful (for the same reason that it is useful in the wp_list_pages tag)