If you have two windows open, one with a draft post, and one with the front page of your blog, with the categories widget showing, you can actually drag and drop the categories from the categories widget one at a time, in the order you want, over and drop them into the visual editor and it will being the name as well as the link to the category.
1. drag a link from the categories widget and drop it into the editor
2. Hit return to go to a new line
3. Repeat 1 and 2 for each category
4. When done, switch to the HTML tab in the editor, select everything in the editor, copy and paste into the text widget
5. Now the (sort of) messy part: In the text widget, place <br /> (note the space between the "r" and the "/") on the blank line between each block of code (link) as below:
<a href="http://blogname.wordpress.com/category/censorship/">censorship</a>
<br />
<a href="http://blogname.wordpress.com/category/global-warming/">global warming</a>
<br />
<a href="http://blogname.wordpress.com/category/google-smoogle/">Google Smoogle</a>