Parent categories for links… “Link directory”

It’s good that it is possible to make subcategories for the posts, but what about the links? If one has many, many links that one would like to share, it doesn’t seem reasonable to have to have a mile-long sidebar displaying them. Wouldn’t it be neat to have a Yahoo-esque link directory? It seems like just about everything is there that would allow it to be done, with the exception of adding link subcategories. Seems like it would be handy to have. Is this possible to do already, or is there a plugin available to acheive something like this? Will I have to make a plugin myself and then release it? That’d be a fun undertaking, but it would certainly be great if this is already possible… Suggestions?