Trev set mine up for me, I *think* he did it right in WP rather than php.
I think it's a great way to get secondary pages better indexed, and traffic hitting more targeted pages.
For example:
http://www.balloondirectory.com/cate...-and-balloons/
On this page I can advertise and trade only with foot related sites, toplists and other foot fetish blog categories- thus making the traffic more productive, and incoming visitors a little more satisfied whether they choose to stay or leave, than if they had simply hit the index page.