Hi Alex,
You should be able to handle this in the transformation.
Using the Corporate Site template as an example, go to:
Examples > Web parts > Tagging & Categories > Category List
Edit the category list and change the transformation to:
<div class="CategoryList" style="padding-bottom: 7px; <%# Request.QueryString["categoryid"] != null ? (int)Eval("CategoryID") == int.Parse(Request.QueryString["categoryid"]) ? "font-weight: bold;": "" :"" %> ">
<asp:HyperLink ID="lnkCategoryList" runat="server" />
</div>
Keep in mind that this is just an example of how you could handle this. It hasn't been fully tested, and there are other checks you could perform and changes you could make. For instance, you could check document name and change the class instead of the inline style.
Regards,
Allen Greenhaw