List Posts by Category

Good morning/arvo/eve,

I would like to create a “Sitemap” of my blog.

I have created a page called “sitemap”, and have a plugin which allows me to embed php code directly into pages/posts.

Now I require the php code which will enable me to list every single post as a hyperlink, ordered by category.

For example:

Category #1
Post #1a
Post #1b
Category #2
Post #2a
Post #2b
Post #2c etc etc

I would also like to know how to exclude particular categories.