I'm using wordpress 3.. Can there be any methods to apply different style class to category navigation. Eg: Consider we've three groups Audio,Video,Upload.Here I have to show Upload category in various style except other two. Thanks...

You could do this it with the addition of a filter inside your theme's functions.php:

function your_list_categories($categories){        
    $categories = preg_replace('Upload', '<span class="upload">Upload</span>', $categories);
    return $categories;
}
add_filter('wp_list_categories', 'your_list_categories');

If you need to do more complicated processing, you could utilize get_categories() method after which loop through and make the output yourself:

function your_list_categories($categories){  

    $categories=  get_categories(); 
    $output = '';

    foreach ($categories as $category) {
        if($category->name == "Upload"){
             $output .= 'Category link code for Upload';
        } else {
             $output .= 'Category link code for all other category links';
        }
    }
    return $output;
}
add_filter('wp_list_categories', 'your_list_categories');