Blogroll for links page

This plugin might do some of that for you:
http://www.dagondesign.com/articles/sitemap-generator-plugin-for-wordpress/

Without a plugin, you’d need to create Pages and associate a Page Template with that Page. Then in the template file you’d need to put the Template Tags, wp_list_bookmarks(), wp_list_pages(), and wp_list_categories().

For the ‘just one category’ in the sidebar, again you need to use of wp_list_categories() and the include= parameter.

So your template file, called mysitemap, might look like this:

<?php
/*
Template Name: mysitemap
*/
?>

<?php get_header(); ?>

<div id="content" class="widecolumn">

<h2>Links:</h2>
<ul>
<?php wp_list_bookmarks(); ?>
</ul>

<h2>Pages:</h2>
<ul>
<?php wp_list_pages(); ?>
</ul>

<h2>Categories:</h2>
<ul>
<?php wp_list_categories(); ?>
</ul>

</div>

<?php get_footer(); ?>

Resources:
Stepping into Templates
Stepping into Template Tags
Template Hierarchy
Editing Files