I have the same as Emralter: dashboard shows the link and there’s no link on my site. I tried the Simple Links plugin which does not work either. Is there a plugin to create links in WP3.5? I use the twenty eleven theme with 3 plugins: Askimet, BackWPup, BulletProofSecurity.
I just found the solution in my case, as a beginner.
If you download the plugin ‘Link Manager’ via the menu-item ‘Plugins’ on the dasboard it will place a new Widget (Menu: Appearance, Widgets)called ‘Links’. Drag this widget to the right (Main sidebar).
Create a new linkcategory (‘Links’, f.i.) (not necessarily) and a new link and the link shows up on the site. The bottleneck was the widget-thing. I have a book about handling WordPress and it does not mention the widget-thing in the section about making links. It’s too simple I guess.