Both of my cats love to climb too! Fortunately, my home is cat-proofed so they can climb wherever they want. When I first got my cat, I wasn't as prepared, so we had a little problems. She loves to climb my shelves, but the highest she could get was when jumping from somewhere. Then she tried to climb higher from the lower shelf, and ended up falling down with a pawfull of whatever was on the higher shelf. The only way I got her to stop was to rearrange my shelves. I filled the lowest and the highest shelves with smaller stuff, and I keep the books on the ones that are just outside her reach, so she has nothing to hold on to when she wants to climb higher. She was also trying to jump on top of a door for a while, that was really troublesome. I guess she fell and hurt herself a little bit when I wasn't watching, since she suddenly stopped one day.
I once heard that cats express their dominance by getting higher. The highest cat in the room is the alpha one. But I haven't really noticed it with my cats, so I can't confirm it.