Categories as Drop-Down

I was wondering if anyone knew how to change the Category links in my sidebar to a drop-down menu? I know there’s a Widget that does this, but I’ve had horrible luck with using Widgets because they interfere with alot of the other custom stuff I have in the sidebar, so I don’t want to do it that way.

If there’s a way to do it by changing the piece of code that shows the Categories itself, that would be ideal. Thanks!