Copy your index.php to page.php, delete any loop code there, then add that code.
For the TwentyTen theme the Page Template would look like:
<?php
/**
* Template Name: My Page of Tags
*
* Selectable from a dropdown menu on the edit page screen.
*
* @package WordPress
* @subpackage Twenty Ten
* @since 3.0.0
*/
?>
<?php get_header(); ?>
<div id="container">
<div id="content">
<?php
//list terms in a given taxonomy
$taxonomy = 'post_tag';
$term_args=array(
'hide_empty' => false,
'orderby' => 'name',
'order' => 'ASC'
);
$tax_terms = get_terms($taxonomy, $term_args);
?>
<ul>
<?php
foreach ($tax_terms as $tax_term) {
echo '<li>' . '<a href="' . esc_attr(get_term_link($tax_term, $taxonomy)) . '" title="' . sprintf( __( "View all posts in %s" ), $tax_term->name ) . '" ' . '>' . $tax_term->name.'</a></li>';
}
?>
</ul>
</div><!-- #content -->
</div><!-- #container -->
<?php get_sidebar(); ?>
<?php get_footer(); ?>