Filtering/searching for entries by category in the control panel
You can via the search box:

myCategoriesField:"some category title"


See http://buildwithcraft.com/docs/searching for details on the syntax.

We do plan on making it possible to add category/tag filters to the element indexes though, including the modal selection windows.



Update: You can add a list of categories to the Entries page sidebar using the Category Sources plugin.