I have added a list of post categories to my sidebar. It took about 10 minutes following Dan Watson’s instructions. There is one minor change if you are running Octopress version 2.1, as Dan’s instructions are for 2.0. and mention putting the new category_list.html template in source/_includes/asides and updating your default_asides line in _config.yml.

In 2.1, it appears that the asides directory has been deprecated and _includes/sidebars is used instead. Place the category_list.html template in the _includes/sidebars/sections folder, and add the following line:

{% include sidebars/sections/category_list.html %}

to one or more of the following files, depending on what pages you want this category list to appear in the sidebar:

blog_index_default.html  # For the main page
page_default.html  # For individual post pages
post_default.html  # For any archive page

Then generate and deploy. Done.