If your using UTW its a piece of cake.
If you want to include a tag cloud page:
When you downloaded UTW one of the files in the template directory should have been names tags.php. Copy it into your template directory.
Go to write page, give the page a name like tag cloud. Select tag archive from the list of page templates and save. You now have a tag cloud page.
If you just want to add a tag cloud to your sidebar there is a number of different options. Go options/tags in admin. Click on local help and then on the right side click "display a tag cloud". It will show you the code you need to add to your sidebar. As an example this code in your sidebar
Code:
<?php UTW_ShowWeightedTagSetAlphabetical("coloredsizedtagcloud","",0) ?>
would give you sized text with different colors displayed alphabetically.
If that doesn't work, just click your heals three times while yelling WALRUS.
But if your not using UTW...don't blame me!!!