These are the sitemaps that most people think of when they hear the word. They are usually linked to from the footer of a website, but some old-school websites still have a link in the main menu.
I suggest using a plugin to create the sitemap page. One reason for this is that it will update automatically when new content is added to your website. Remembering to update your sitemap is something very few (if any) people will do. Use a tool for this!
They create a list all of the pages, all blog posts (if you have a blog), all products (if you have an e commerce website), any categories, special pages like FAQ, testimonials, etc. They are generally listed in a hierarchical outline and link to all the items listed.
For very large websites they are a necessary tool for people to use when there are many layers to your website and they cannot find what they are looking for on your main navigation. I usually use them on various government websites and other content heavy websites.
If your sitemap page ends up looking like your navigation menu then it is not necessary to use. It is best used when there are layers of information.