That's just crazy talkin'!!
But seriously, in response to a comment from Angelsong, who's trying to make this category method work for her, let's investigate: There should be a way to create a drop-down menu, but I guess you'd have to hand-code it with your most frequently used tags, & then include a link to your del.icio.us page for the rest of your tags / categories. The simplest way might be with an old style (& not especially cool-looking) drop-down form like the one on Monica's Portfolio Page.
Anyone else got a cooler drop-down form? Comments are always open & I'd love your input!! I'd take one of these in a heartbeat if we can come up with a way to make one!!
If you don't want to hand-code a list, the single link in the sidebar method seems to be working OK for me. One of the up-sides of this method is that it uses del.icio.us as a substitute category manager / list builder, & so your category list is simply the right-hand column of your del.icio.us page. It isn't on your blog, sure, but it's only a click away, & all the links on the page point right back to your blog. See my del.icio.us page as an example.
Update 7/26: Many thanks to Mark at Escape from Obsession for encoding the drop-down menu for del.icio.us tags & sharing his efforts with the world. Much appreciated!!