I've noticed that when viewing some PDFs in Evince some of them have a index in the left side of Evince where items are clickable.
Well i want to build something like that for one PDF is that possible in Ubuntu?
There are many ways for crating TOC in PDF. Best one is probably using pdfmarks file which exposes all possibilities described by Adobe pdfmarkReference
For an easy way of manually adding TOC entries, like you want I assume, PDFMod GUI utility can help. It's listed in Synaptic
To supplement zetah's answers, here's a quick tutorial on how to create a pdfmarks file and use ghostscript to add that to a PDF file:
The syntax is a bit arcane, so you will probably need another tool to generate those files.