additional external links

If you use a plugin like exec-php, you can customize your own widgets. Then you could have one widget that pulled up one set of links in a given category (or several categories) and another set of links that pulled up a different set of categories.

Well, then you can customize your sidebar.php file directly. See this in the codex:

http://codex.wordpress.org/Customizing_Your_Sidebar

And then you need to learn to call certain categories and not others. Information about this is often discussed in connection with The Loop, but much of this applies to the sidebar as well. So you need to learn a bit about template tags:

http://codex.wordpress.org/Template_Tags