The sound of a pin dropping drowned out by a penny...
I've found no plugin that'll do this out of the tin. Some people have paid for Subscribe2 to be modded, and if anyone else wants to take this route there's a chap in St Petersburg who knows what to do.
As a mod may need frequent updating I've decided against it. Also, to allow subscribers to choose categories Subscribe2 requires they be made Registered Users who will have Admin panel access, which looks clumsy and ugly.
It looks like Mailpress comes closest. No selecting categories of while signing up, but the confirmation/verification process leads neatly into a simple subscription management page on the site for the user to choose categories. The roles options for managing Mailpress provide fine-grained control over who can do what. It's a well thought out bit of work. Now to give it a proper test.