This plugin will add a list of tags to your sidebar.  Each tag will be a link to a page showing all the entries filed under that tag.

There are a couple of options for this plugin.  First, there are settings to control the sidebar header and the page header for the tag listing page.  There is also a setting to show links to RSS feeds for the tags, if they exist.  This will add an RSS icon with a link to the corresponding feed after each tag.