I stole a few lines from GaMerZ’s WP-Stats plugin and repackaged it into a Category Post Count plugin [see the sidebar] that enables you to display the number of posts in each category on the right side of the list.
If you’re interested in using the plugin post a comment or email me!
Here’s the code, copy and paste into a text editor and save as cpcount.php, then upload to your plugins directory and activate from your WP panel.
Update: Apparently WP comes with a built-in feature to do this [my bad!], but mine is presented in a slightly different visual style! 😛