After going through the categories tutorial and setting up the links in your sidebar, you may notice some problems occurring.  The one I have found most common is a rather annoying tendency for the category links to "dogpile"--line up one after the other, rather than placing each link on its own line.  The remedy is actually quite simple:

1)  Open your template code, and find the dogpiling categories.  You'll see something like this, minus the asterisks: