A sitemap for a website is basically a single place that links to all the other pages (and posts) on that site, so human visitors can scan through to find what it is they may be after. The XHTML sitemap to which I refer is not the sitemap.xml that Google and other search engines support, which also includes values on how often those pages should be visited by their spiders.
You could add a normal page, and manually add a link every time you create a new post or page, but of course, there are more efficient ways of doing it. I’ve already offered examples on how this may be done programatically within the Thesis theme but even this could be improved upon, and made more generic to apply to any theme, by using a WordPress shortcode instead.