To create a Twitter list, go to your Twitter account, then click on Lists. You will then see a button to "Create List." When you create a list, you will be prompted to give the list a name, along with an optional description. You can make the list public so that other people can see and subscribe to the list, or you can decide to keep it private.
When you create a list, it has an address, so here is the list for Doctor Who that I created:
Because it is a URL, you can bookmark it, which gives you instant and easy access to the list, and you can favorite and retweet posts from a list stream, just as you can from a regular stream.
You can also make a widget based on a list. Just go to Settings, choose Widgets, Create New Widget, choose the List tab, select the list, choose your other options, and then create the widget! Twitter will then give you the HTML you need to embed the widget as you can see below.