WordPress.org

Go to the "My Link Order" tab under Manage and specify your desired order for link categories and links in each category

If you are using widgets then replace the standard "Links" widget with the "My Link Order" widget. That's it.

If you aren't using widgets, modify sidebar template to use correct filter(additional parameter seperated by ampersands): wplistbookmarks('orderby=order&category_orderby=order');