I recently did a new install of3.5 and surprisingly I couldn’t find the Links Manager in my installation. I did a quick search and found that it and blogrolls are hidden for new installs. If you are upgrading your version and have WordPress links you won’t be affected.
Here is an excerpt from WordPress Codex:
As of Version 3.5, the Links Manger and blogroll are hidden for new installs and any existing WordPress installs that do not have any links. If you are upgrading from a previous version of WordPress with any active links, the Links Manager will continue to function as normal. If you would like to restore the Links panel to your install you may download and install the Links Manager plugin. This page is still relevant for any user with an existing Links Manager or with the plugin installed.
WordPress allows you to store a set of external links, also known as your blogroll. These links can be put into categories, imported, exported, added, deleted, and edited. The link categories can also be added, deleted, and edited. This article describes how to do all of the above, using the Links section of the WordPress Administration Panels.