It depends on the source and can range from one to over a hundred. Canada's Department of Public Safety has one watchlist with one category: Terrorist Entities. The US State Department has five list sources, each with different numbers of lists.
In some cases, the list source will create lists themselves. For example, Switzerland's State Secretariat for Economic Affairs is a list source and has lists titled "Iran" and "North Korea." In other cases, there are no lists to subdivide risk. For example Pakistan's Proscribed Persons list source, despite it being one of the world's largest terrorist watchlists, does not have thematic risk, which could be for example: which terrorist group is a designee affiliated with?