I am bumping this because I have the same question and the above links did not really address it. (or maybe I just did not understand the wp_get_archives() article, I tried to implement it, but got nowhere…)
The OP (and myself) want a list of Blog TITLES to appear under the Monthly Archive List in the sidebar.
So rather than seeing this:
November 2008
October 2008
September 2008
The user would see:
November 2008
…My Blog Title 1 Here
…My Blog Title 2 Here
…My Blog Title 3 here
…etc etc
October 2008
September 2008
blogspot.com seems to have this available as a default setting and it makes it much easier for a reader to casually browse titles of entries and then click on one if they want to read it. Other sidebar plugins just show the dates only which is pretty useless when browsing.