I wrote a plugin that checks if any of your link-roll linked weblogs have been recently updated, and marks them as recently updated, using the options you have specified in your WordPress link manager options page.
This does what used to be acheived by uncommenting one line in index.php earlier, which is no longer present in the current (1.2) default index.php.
The plugin is available at
Download it, save it as updatelinks.php , upload it to /wp-content/plugins (your plugins folder)
Activate the plugin through the WordPress administration Plugins page.
Make sure your links-update-cache.xml file (in wp-content) is writable (chmod 766) and wait. Depending on your link manager options settings, and how soon or late one of the weblogs you have linked to is updated, it might take a while before you see results :)
I have tested this (there is not much that can go wrong, I guess, with a one line function :) ) , but if there is any problem, let me know at mail at carthik dot net , in case I do not check this thread for updates.
I beleive this plugin is essential if you want to know and show which of your linked-to blogs have been recently updated.
I will add this to the wiki plugins page soon.