How to Set Up Most Recent Posts List

I'd like to find out how to set up a most recently posted list. I've seen this on some other blogs I've read, but I don't know how they are set up. I have a lot of links to past posts, and I am interested in possibly consolidating them or eliminating them altogether. After all, I do have the Google Search gadget up and running.

What do you think? Can you offer any suggestions?

2005 Update: with the newest version of Blogger, this comes prepackaged!