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Nice site!
I use xdirectory on one of
the sites I'm developing and never thought about that question until now. I just took a look at its templates, and believe it or not, it's actually set up to have the main category in bold and the subs in normal text.
It looks like the problem is that style.css overrides that setting. So if you have your links set to be bold in your stylesheet, they'll be bold everywhere.
I'm going to try an experiment with some span tags and see what happens. Let you know the results.