Do you mean the way they appear on the user side of your blog, or the way they appear in your dashboard admin? In the dashboard, they appear alphabetically, and I’m not sure if that can be changes.
This codex article tells you how to arrange them by either category ID or category name (alphabetically) and gives you the option to sort them in ascending or descending order. As far as I know, that’s all the sorting there is, unless someone has created a plugin that, for example, sorts them by number of entries or some other argument.
Edit: I should also add that there is no easy way to change the ID of a category once it’s created. The extremely hard way would be to delete all of the categories and then re-create them in the order you want them, but that puts you in a bad position if you ever want to add a new cat.
