The following code will retrieve the current category when viewing a category page in your blog:
<?php Mage::registry('wordpress_category') ?>
This is not what you need. To view a list of categories, you could create a custom collection using the following:
<?php $categories = Mage::getResourceModel('wordpress/post_category_collection') ?>
A better way would be to use the category widget block:
<block type="wordpress/sidebar_widget_categories" name="wp.categories" template="wordpress/sidebar/widget/categories.phtml" />
You can create this in PHP using the following code:
<?php echo Mage::getSingleton('core/layout')
->createBlock('wordpress/sidebar_widget_categories')
->setTemplate('wordpress/sidebar/widget/categories.phtml')
->toHtml() ?>
The above code uses the default template, however, feel free to use your own custom template.