Great Blogroll module for Drupal 6
It seemed strange to me that there isn't a better solution, so I found the Weblinks module (http://drupal.org/project/weblinks), which does exactly what I'm looking for: it allows an admin or user to create Blogrolls (= several list of links). Those lists can be put into categories, such as "Design Links" or "Programming Resources".
What I liked about the module was the fact that it seems seamlessly integrated with the core Drupal modules. It's using the Taxonomy module for categories and has a straightforward installation. The module creates the Vocabulary automatically (after visiting the configuration page once). Any categories can be created through the Taxonomy module. Weblinks comes with three different css files; I chose the weblinks_minimal.css, as my goal was to integrate the module's output into my sidebar.
Another part of the module that's great is the views integration. Using Drupal 6, Views and Weblinks, it's easy to create a page with the most popular links based on user click-throughs (which comes as a predefined block for the sidebar, but the fact that it CAN be easily re-created using views was noteworthy).
One feature that I was missing was an OPLM importer to take all the items from my existing feed reader and import them easily into Drupal, without having to copy & paste every website manually. Apart from that, I think I'll use this module from now on instead of creating custom blogrolls, as it seems to be maintained very well and updated often.