How to list different category levels

Hello everyone,

I want to create and A-Z of movies for my site. I would like to have a page that will display these movies in alphabetical order in relatively the same was as this:
A
1
2
3
B
1
2
3

etc

Now I have created a category for each letter and put them under a parent category of “movie alphabet”

The problem is i cant really get my head around how should be done the best way. My idea would be having something like this
A
[catid=blah]
B
[catid=blah]

etc
Is there any other way for this to be done?

Thanks for your help!
Jozef