Under Tools in the WordPress settings are the import and export options. This can be really useful when you are moving a blog from one location to another or if you are moving a WordPress.com hosted blog to a self-hosted one.
The export/import feature, however, does not include your blogroll. If you have a large one it can be very tedious to recreate.
But, there is a way, to transfer the blogroll so it doesn’t have to be recreated manually.