Clean, manageable archives on a blog act much like a sitemap for users. Such archives enable browsers to see the entire content of a blog at a glance.
In the past, I used Justin Blanton’s Smart Archives plugin, but this seems to have been superseded by Scribu’s Smart Archives Reloaded. The latter seems easier to work with as it does not require page code edits.
To set up clean archives similar to the ones you see on this blog, head on over to the Smart Archives Reloaded page (linked above), grab the plug in, install it and activate it.
Next, create a new page and add the following tag to the page body: [smart _ archives].
The presentation of the archives can then be tailored to your needs by tuning the settings in Settings -> Smart Archives.