Adding a Tag Cloud does depend a bit on how the theme formats it, but essentially it’s a Widget (called Tag Cloud) that you drag into your sidebar. If you are using a theme for example like (Chateau) which is lovely it will support this in either of the widgetised areas (sidebar or bottom).
If you want to use it in the sidebar, make sure you select a layout with a sidebar – Chateau has the option to not use a sidebar (under Appearance – Theme Options, under Layout).
You can’t change the amount of tags that are being shown in the tag cloud. You can only select to display categories instead which are usually fewer than tags.
On the Chateau theme, and many other themes, you can choose which tags and how many you want to see in your Tag Cloud by simply tagging the posts you want. This is simply done by limiting the amount of tags you add to your posts. So by limiting yourself to say 10 tags overall you’d create a better tag cloud display than randomly adding new tags every time you write a post. That’s not necessarily a feasible option for everybody though – it depends on how you use tags. Many people don’t use them to index their content but instead for SEO purposes – in which case your tag cloud will look rather crowded.