@orwhatyouwill:
If I understand well, you're thinking of this structure:
Category: Analysis
Subcategories: Hamlet, Macbeth, etc.
Category: Film Adaptations
Subcategories: Hamlet, Macbeth, etc.
etc.
And you're thinking of being able to click "Hamlet" and be taken to Hamlet analysis posts or Hamlet adaptations posts.
That's not directly possible, of course: a category tab is supposed to isolate all the posts filed under that category, not some of them. To work that way, your subcategories need to be "Hamlet: Analysis", "Hamlet: Film Adaptations", etc., same thing for Macbeth, etc.
If you think that such a list would look horrible, then the only thing you can do is create subcategories as suggested above, create links to them that won't be named like that, and create a custom list in one or several text widgets (then remove the Categories widget). You'll need coding for links and for the so-called unordered lists - see here:
http://wpbtips.wordpress.com/2009/04/01/codes-useful-for-text-widgets/
The drawback is that you'll have to update the list manually each time you add a new category or subcategory.