Oddly enough WordPress doesn't include specific templates for creating indices of all categories or tags. I guess most people use widgets to include these in the sidebar. I prefer to put these on separate pages though, especially if the lists get long. If you want to create a particular type of index you can do so by creating your own page template. For example you could copy page.php, give it a unique name, then replace the loop with the following to create a date archive page.
<h3>Archives by Month:</h3>
<?php wp_get_archives('type=monthly'); ?>
That said, there are plug-ins that handle this sort of thing quite nicely. I use AZIndex to create alphabetical indices of pages or posts, and Clean Archives Reloaded to create a nicely sorted date archive page. Then I simply add these pages to my blog menu to make it easy for visitors to browse the content as they choose.