I look at Anil Dash's links log daily now and decided to kick up one of my own partially to give people a glimpse of what I'm looking at day to day, but mostly because I need a way to keep track of all these links.
Anyhow, I implemented my links "blog" as a category under my current blog. In that category directory, I tossed a different set of templates so that it's more "minimal" (inspired by what Anil does with his link blog). Then I used the filter plugin from the Pyblosxom registry so that I could "hide" the links blog entries from my main site (I figure it'd be too spammy).
Took me maybe 10 minutes to implement the whole thing--5 of which were used to update the filter plugin from the one at the link to something that works with Pyblosxom 1.0.1 (soon to be released).