If you take a look at the codex page, http://codex.wordpress.org/Template_Tags/wp_list_cats – you can find a lot of good resources that should be able to help you figure it out.
Also, it’s very simple to stop it from being bulleted by using CSS, such as #categories li { list-style-type: none; }
This will help you with styling your lists in the sidebar:
http://codex.wordpress.org/Styling_Lists_with_CSS
This will help you customize the sidebar links and lists and information within the sidebar:
http://codex.wordpress.org/Customizing_Your_Sidebar
This will help you create intrasite links:
http://codex.wordpress.org/Linking_Posts_Pages_and_Categories
To include a specific “target” or link around your sidebar links, like categories, you first have to set the above listed template tag, wp_list_cats() or list_cats() to exclude what you don’t want in the list. Then you create something like this:
<ul>
<li><a title="Home Page" href="index.php" accesskey="1">HOME</a></li>
<?php list_cats(FALSE, '', 'ID',
'asc', '', TRUE, FALSE,
FALSE, FALSE, TRUE,
FALSE, FALSE, '', FALSE,
'', '', '1,33',
TRUE); ?>
</ul>
