Well, you could go into the Write section of your administration panel, and then write a page. All you need in the page is something like this:
<ul>
<?php get_links_list('id'); ?>
</ul>
To see more information, check the Codex on template tags, down in the Link Manager section. Using wp_get_links() for example, you can customise the output further, but the above code generates a clean, unordered list of the links organised by category.
Once you have written the page, call it whatever you like, lets use Links for example. Check the page slug (it should be links if Links was your title), and then you can visit the page using http://yoursite/links/.
@aetherfox,
I understand what you mean, but the way you posted I am afraid might be confusing for a newbie…
Actually you can not write PHP code in a Page. In order to make it work you have to create first a page template; in this case the best solution is to have a links.php template which is recognized by WP as special file, and put the above code into that.
Create a Page using that template and do not put anything in the content.
