In the Default Theme.
Category module displays only two depth.

This module show all sub categories from first category.

Demo: http://o2demo.shawnlab.com/index.php?route=product/category&path=20

Instruction
1. upload all files
2. Admin -> System -> Users -> User Groups :: give permission for "categorydepth" module
3. Admin -> Extensions -> Modules -> Category Depth :: install and enable
4. Admin -> System -> Design -> Layouts :: put module wherever you want