The Albumlist Module can display a list of all your allery albums.
Albumlist shows only public and non-hidden albums and the depth of the albums is configurable.

For running album_list.php embedded in Mambo you have to set the $usewrap=0 and remove the unset from unset ($GALLERY_EMBEDDED_INSIDE); in line 109 of the script.

The album_list.php is not part of the module, install the corresponding script from the Gallery Addons section.