At Admin -> Settings -> Switches, there's a "sitemap" option. When activated, there's a link at the very bottom of every page to a sitemap page which shows all the site's categories and subcategories. This can help search engines find their way to all the subcategories on a site that has thousands.

To customize the look of the sitemap, find the sitemap template at Admin -> Themes -> Manage Templates. The sitemap is pre-generated, once per language, for speed. If it's out of date somehow, Admin -> Maintenance -> Regenerate -> update category selector and sitemap can update it.

This category sitemap is not to be confused with google/sitemaps.org sitemaps, which are an option on the Settings -> SEO page.