Generating a sitemap for your site is an important step in optimizing it for the search engines. However, they tend to be very unpretty. See the sitemap on this site, for example. Not exactly a thing of beauty.
Chris over at Pearsonified explains how you can stylize your sitemap by using the WordPress page template system. And for those of you using his Cutline theme, he has an XHTML sitemap that is formatted specifically for that theme.