When using multiple taxonomies (even more than only the built-in Category and Tag taxonomies), many people use [the Taxonomy Drill-Down plugin][1]. It offers a nice drill-down widget which user can use to navigate your site.
The plugin used to be called “Query Multiple Taxonomies” because it offered support for multiple taxonomies in queries, but that code was moved to the core in version 3.1, so the plugin now focuses on the UI.