I use a contact-item folder named Projects to maintain my projects list, similar to Bill Kratz' method, though I don't use any custom forms.
Each project is created as a contact in that folder, with the project name in the First Name field. When I create an NA in the Tasks folder, I can associate it with a project by clicking the Contact button at the bottom, choosing the Projects folder in the Look In box, and then choosing the project from the list below. I can associate a sub-project with it's parent in the same way. I can open a Project and click on the Activities tab to see all of the NAs that have been created for that project along with whether or not they are completed, as well as any sub-projects.
I set the Projects folder not to show up in my address book or to be searched when Outlook is trying to autocomplete email addresses.
I don't use categories to group the projects, since the Contacts button brings up an fairly inflexible list that does not group by category. Instead I prefix the name of each project with a general category (i.e. Home, Work, Personal, etc.) which I've found makes the list easy enough to use.
I move completed projects to another folder.