Lists and libraries in Microsoft Sharepoint 2010

In Sharepoint, I can have a library, that can contain folders and files.

Or I can have lists: flat structures of objects of the same type.

But as far as I can see, there is no general folder structure. I can't organize my hyperlinks with one folder for radio streams, with sub-folders for news and music. A linear list of hyperlinks will become too long.

Nor is there a way to list Word documents, hyperlinks and appointments side by side.