I don’t like the term “Blogroll” for my links in wordpress. I would rather call it “Links”.

To change the name of the category “Blogroll” in the wordpress admin, go to Blogroll -> Categories and click Edit for the Blogroll category. In the next screen you can change the name and the slug from Blogroll to whatever name you like.

P.S. I have done this on Wordpress 2.3.2