Be careful about putting a list of categories on non-index pages. If you've got a lot of categories and rebuild all of your pages, MT has to recalc the list of categories for each page, and it can chew up some time.
That said, the information you're looking for is
in the MT docs. For example:
CODE
<MTCategories>
<a href="<$MTCategoryArchiveLink$>"><$MTCategoryLabel$></a><br>
</MTCategories>
That should give you a list of your categories, with each category name as a clickable link to go to that category's archive page. You can include other information in there too, like <$MTCategoryCount$> to get a report of how many posts are in each category.
Here's one of the best ways to make a category link, one which allows for multiple categories. Edit whatever template you're using (Date-based, Invidual, whatever) and insert the following code within the MTEntries section:
CODE
<MTEntryCategories glue=", ">
<a href="<$MTCategoryArchiveLink$>"><$MTCategoryLabel$></a>
</MTEntryCategories>
That should give you clickable links wherever you want them.
Enjoy!