For those that haven’t noticed, I have added my own personal LinkRoll or LinkBlog to the left hand sidebar of this site. This link blog can be subscribed to independently of the blog and will contain links that I find interesting that I come across within my feed reader. I have created this tutorial which highlights the steps necessary to create your own link roll.
I use FeedDemon as my RSS feed reader. However, what I have done with FeedDemon can easily be duplicated with Google reader or most of the other feed readers out on the market. Note that if you are using FeedDemon, make sure your client is setup to automatically synchronize with your NewsGator online account. If this is not done, your link blog will not work.
Step 1. Open up FeedDemon and create a NEWSBIN. When creating this newsbin, make sure that you checkmark the box to SHARE THE NEWSBIN AS AN RSS FEED. If this is not checked, your link blog will not be functional.

Step 2. After you click the OK button, you’ll be notified that an RSS feed has been created for the news bin. Click on the COPY FEED URL TO CLIPBOARD LINK. Now, head to Feedburner.com and create a new feed by pasting the RSS link you copied to the clipboard into the appropriate area. Follow the steps through Feedburner until the feed is created.

Step 3. Copy the FEED URL FeedBurner provides you after you create your new Feed. Log in to your WordPress administration area and browse to PRESENTATION-WIDGETS. If you don’t see a widgets area, you probably don’t have a Widgets enabled theme. In that case, go install a new theme that is widget ready. If you do see widgets, look for a widget called RSS1. Drag this widget into one of your sidebars to enable it. Click on the widget OPTIONS button and paste the Feedburner FEED URL into the first box. In the second box, give the feed a title such as MY LINK BLOG. You can choose how many items you want to show in your feed. As for myself, I like the number 7. Click the X and then click the SAVE CHANGES button.

The RSS Parsing widget should now be displayed on your blog. However, until you actually place things into your LINK BLOG NEWSBIN that we created earlier, this widget will remain empty.
This is what the newsbin inside of FeedDemon looks like:

And this is what it looks like on my blog:

If your not happy with the way it turned out or if you would like to have more control over how your feed is presented, check out the KB Advanced RSS plugin for WordPress. This plugin gives you the option of using HTML to custom style your feed if your into that sort of thing.
If you are using Google Reader, I suggest reading an article that was written my Mark Rizzn which instructs you on how to create a link blog using Google Reader.