There are a lot of things that you can add in your blog sidebar such as Blogroll, Feedburner suscribers, categories, 125*125 pixels ads, and more. The problem is, your sidebar becomes quite lengthy which isn't visually appealing. And to make it worse, not too many people will scroll down your blog to see what is available at the very bottom of your sidebar.
You can create a tabbed sidebar by using some custom HTML, CSS, and JavaScript codes. But the easiest solution is to use the "Fun With Sidebar Tabs" plugin, by Andrew Rickmann. The latest version of the plugin is 0.5.4. The plugin author has stopped maintaining it, but the plugin has been tested for its compatibility with WordPress versions up to 2.8. So, there's no particular reason that the plugin will stop working properly for higher versions, but there's no guarantee either.