Hi SkiMike, and welcome to posting on WebmasterWorld ;)
I'll be blunt: I don't know of any such database that is of any use, and I imagine most of the ones you will find will be from 1) dubious sources and 2) poorly categorised.
The central problem is not the lists of words (the easy part, although not necessarily easy to come by in a reliable way) but the categorisation. How do you determine whether a keyword is finance or shopping? It's a judgement call, basically.
I'm sure there are methods to categorise keywords automatically (depending on your desired categories, of course!) but again, I'm afraid I don't know of any particularly reliable ones 'off the shelf'.
I suppose a few important questions are how many keywords do you want to categorise, how similar are they, and how many (and what style of) categories do you want to put them in?