More links to your blog means more visitors. Bloggers check to see who is linking to them; if they like the blog that links to them, they may link to it. A blogroll is a list of links to other bloggers. (You need not take my word, it says so over at Learning Movable Type.)
That is the basic logic behind a blogroll. A nice young fellow Arvind Satyanarayan has written a full featured commercial plug-in for Movable Type which helps users manage blogrolls, and has nice features, such tracking the last update to the blogs on your blogroll. If you need features, check it out.
But, maybe you don't want to run a program that requires PHP. Maybe you don't feel like paying for a plug-in. Maybe you won't want to give your email address just to download the plug-in to evaluate it.
Maybe, like me, you just appreciate the beauty of a simple hack.