By default, WordPress gives you the address of a page that includes all the posts in a specific category -- for example
You don't need to create a "page" to have this link work.
In addition, if you don't like the way your theme sets up that page (maybe you want excerpts instead of full posts or vice versa), you can change the formatting of the page for any single category or for all "category" pages. Find instructions for modifying the template files here:
On the other hand, if you have a page where it would be helpful to have, say, the titles of the posts in a specific category, there are plugins that make that relatively easy. The one I've been using is Mini Loops.