I'll give you the short answer; if you have a follow up question, don't hesitate to ask:

Open the file ../blogs/skins/_categories.php
on line 20-22 it reads:

	# global category list delimiters:
	if(!isset($cat_main_start)) $cat_main_start = '<ul>';
	if(!isset($cat_main_end)) $cat_main_end = '</ul>';

These are the <ul>'s for the main categories. You can give them a name through changing the second line in:

	if(!isset($cat_main_start)) $cat_main_start = '<ul class="mainCat">';

The subcats appear in lines 27-29:

	# Category group delimiters:
	if(!isset($cat_group_start)) $cat_group_start = '<ul>';
	if(!isset($cat_group_end)) $cat_group_end = '</ul>';

You can name these <ul>'s different:

	if(!isset($cat_group_start)) $cat_group_start = '<ul class="subCat">';

It is not possible to style sub-subcats. They appear in style as the subcats do.

Good luck