Drupal's powerful Views 2 module comes with a handful of fantastic built-in views that show off just how much Views can do out-of-the-box.
Today, I discovered the glossary view for the first time. Just go to the views listing page, enable the glossary view and you'll find an alphabetized view of all the content on your site. It displays an A-Z pager as a views attachment and the page display takes a single letter as an argument, with the pager providing a link to each version of the view.
You can further configure the view by adding filters and fields that make sense for your content. If you want to include multiple directories or glossaries on one site, you can easily clone the view and change the filters.