Are you running WordPress 3.0 yet? If so, you might have come across a nifty little addition called Menus. You’ll find it on your admin Dashboard in the Appearances section, and here’s a little screenshot of how it looks:
As you can see, I’ve set up a new menu named “Lorraine Menu” here, and added various things to it by selecting from the elements on the left side of the page: a link to Devlounge, links to some pages, and so forth.
Also of note is the message beneath Theme Locations that states:
The current theme does not natively support menus, but you can use the “Custom Menu” widget to add any menus you create here to the theme’s sidebar.