Menus frequently include links to the home page, sub pages, categories and tags. Themes generally include at least one menu location – usually for the main menu of the site. Some themes display a list of all pages on the site if no main menu has been specified in the menu settings.
You edit menus in “Appearance → Menus”. On that page, you can select which content that should be included in a menu, like pages, posts and custom links, and choose the menu location in which the menu should be displayed. If your theme supports widgets, you can also add a “Custom menu” widget in the widget areas of the theme.