Categories allow you to browse specific content in your reading list, and get even more powerful when you set up custom digests. By default, a Category's subscriptions are sent in your daily digest, but they can instead have their own custom daily or weekly digests (Pro users can even direct category digests to different email addresses).
For example, let's create a category for your social notifications.
First, in your Reading List, at the bottom of your categories list in the left sidebar, click "Add new category..." and type a name for your category, like "Social". Hit your enter (return) key to create it.
So now you've got a new category, but it has no subscriptions in it. Go to "All" or "Uncategorized" where you can click any sender ("Facebook", "Twitter") and drag it to any category, which moves that subscription to that category (not just a single message). Think of it like categorizing RSS subscriptions (not like moving emails).