With the upcoming release of Market Theme 4.0, the left margin will contain category links.

For now with Market 3.x , you can add the Categories widget, but it currently appears on the right side. 

(To add the Category widget, go to "Appearance – > Widgets" and then drag the category widget over to activate.)

If you want to switch it to display the column on the left side, I think you can do it with a few stylesheet changes.  (style.css)

1.  For the element:  "#content .news"  change the "float value from "left" to "right"

2.  For the element:  "#content .products"  change the "float value from"right" to "left"

Save the file, and that should do it.