To be brief: I made a small tool that helps to create an index for your blog. I did not know how to notify other WordPress users about it, so I contacted support - and they kindly recommended me to do a post here.
Alas, the listmaker is not fully automatic, but it is still much better then doing an index manually. Hopefully WordPress guys will add that feature soon, in my opinion it is badly needed.
Now, the links:
List maker on my home page (download from there)
My index page, as a sample of the output.
Please let me know about any issues with the tool, preferably with the XML included if possible. You can mail me from my home page (click item "Contact" on top) or just leave a comment to the blog post. All ideas are welcome as well, naturally.