What can you put in your link list? You could add sites of common interest, or generate a blogroll like the ones from Bloglines.
Many of Blogger's default templates have a link section in them already. To see it, log in to your blog and then click on the Template tab. Scroll down through the code until you see something like this (usually) in the sidebar section:
<li><a href="http://news.google.com/">Google News</a></li>
You can see there are a few links already in there to get you started. You can delete or edit these as you like. You can also add as many more links as you want.
If you have a template without a links section, you can simply copy the code above and paste it into your template. You'll probably want it in the sidebar, perhaps next to the archives or previous posts list.
To change a link, paste its URL in place of "http://EDITME" in the above example, or in place of one of the default links that comes with your template. Then change the "Edit-Me" text to say what you want to appear on your blog. In this instance I have the links only on the main page, in the main body of the blog.
Finally, save your changes and republish your blog.