A blogroll is a listing of other blogs that you either subscribe to or that you recommend. People often post a blogroll on their blog, either on the right- or left-hand side of the page. On the one hand, you may think that you're doing your readers a favor by pointing them in the direction of other resources that they may find useful, as well as creating more online traffic with cross-links, and the blogs that you recommend might end up getting more hits and therefore a higher page rank. On the other hand, if you want your readers to stay on your page, but you give them links to other pages, you may find them hopping off on a journey away from your blog.
At any rate, if you decide to have a blogroll, keep it under 75 links or it will probably be ignored by search engines such as Google. In addition, any sites that you write about inside your blog will be ignored, too.