Tim Dunlop has reposted what is pretty good advice to new bloggers. Here's my short version:
I get requests for links all the time. If someone sends in "please link to my weblog!" I'm unlikely to even click on it, let alone link to it. If someone sends me a link to something that interests me, especially if they include the content of the post in the email, I'm much more likely to link to it. As for who makes the list of links on the left - for the most part it's my personal link list. If I find myself reading someone's weblog regularly, I'll eventually add them to the list. I tend to favor people who update their weblogs fairly often. And, I'm slow to remove people from the link list though eventually I do if people stop updating.