The My Website tab gives you the option of creating the List Widget.
Customize your widget’s preferences, appearance and dimensions. Test the widget, grab the HTML code, and embed!
More information about Twitter lists:
Twitter blog: There's a List for That (Oct 30, 2009)
Mashable: HOW TO: Use Twitter Lists (Nov 2, 2009)
Mashable: 4 Ways News Organizations are Using Twitter Lists (Nov 3, 2009)
Mashable: 10 Ways You Can Use Twitter Lists (Nov 4, 2009)