Creating an links page is very easy in wordpress and displays all your links in one directory.
You use the same method as you would to create an archive page in wordpress.
The wordpress default theme already has a links template but if your theme does not then all you have to do is copy your page template to a file called links.php and upload it to your theme directory making sure that the file has
/*
Template Name: Links
*/
at the top of the template and the following code for the content :
<h2>Links:</h2>
<ul>
<?php get_links_list(); ?>
</ul>
Once you have a links template all you need to do is create a new page and change the page template to links. Thats it. You should now see a links page which shows all the links you have added to your site. You can see an example of this on our links page.
If you have any questions please let me know 
kevin
Till we watch the last low star, Let us love and let us take Of each other all we are. On some morning with that star One of us shall lie awake, Lonely for the other's sake.
I just found this, and I really needed it! I’m so glad this blog has grown so much, it’s really helped me over the months.
Thanks. I once had a theme that when i created a page called "links" it automatically posted my blogroll links to it. Odd. This works though!
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Hi Kevin! Will this work also with the newest version of WP? I have some trouble to set up my links page.
Thanks.