As of WordPress 3.0, there are now Custom Menus available within the WP Admin. This wasn't always the case, but these days all modern themes support Custom Menus, and so does the default theme, Twenty Thirteen.
The Custom Menus feature lets you create menus with links to pages, category archives, and even arbitrary links to any URL (which also allows you to use links to your individual posts). Then, you can place your custom menu into your theme.
Let's take a look at the menu's management screen. To get there, just navigate to Appearance | Menus:
To create your first menu, enter a title where it says Enter menu name here, for example, ...