I don't have that many categories, but determining categories and then subcategories is a challenge.
First, who will be using your site? If it is the members or the clergy who want this information for "reference", and we're talking about a close-knit group, then think small and chronologically and let, as Sleep mentioned, the titles speak for themselves and use a "related posts" plugin to list related topics in the sidebar to guide folks. Categorize the sermons by general theme. There aren't "that" many themes. Prayer, worship, and personal communion with god and such are related. "Reaching Out" could include fellowship, recruitment, or whatever your church calls their outreach programs...well, you get the idea. That way, seriously related topics could be found together but the series would be chronological.
Second, think bigger. If the sermons and information is open to a lot of people, what are the odds they are going to think "I want to find that lecture series done in May of last year"? And some of the users won't even be familiar with the church. And, more importantly, they won't care one way or another. They will just want the information.
If we are only talking four sermons in a series, I would look at this as an alternative option.
Set your main categories to match the general themes (like those mentioned) covered. Look at the past few years and find categories like Fellowship, Prayer, Outreach, Holidays, and so on. Vague groupings. It's a wonderful challenge.
Then, post the first sermon of the four week sermon in a post. On the next week, ADD the second part of the series as a "NEXT PAGE" using the Quicktags. Unless they seriously run off at the mouth, why not? On the third part, add that to the same post with the next page feature, and the fourth. This way, while the "series" will be across 4 "pages", it is actually in one "post". Bibliographies, references, and other related and associated materials could be gathered into a second post, dated the same day as the first post, but a few minutes later, so it would still stay close chronologically.
Do you follow?
It would also make linking a dream because you wouldn't have to worry about making sure there were links in each post to connect to the ones to follow, since they would be page 1, page 2, page 3....
This way, they stay together, but the categories are still served for the big picture.
It doesn't matter which way, but it's an idea. I'm sure from here, others might have even better ideas.