You don’t “need” it, is the simple answer.
Why would you want it? If you have a list of favorite blogs, or other online sites you visit you can list them in a blogroll.
If you care to delete it you must go into your “sidebar.php file”
I assume you are using the default Kubrick theme.
If so look for this code in sidebar.php
<li><h2><?php _e('Links'); ?></h2>
<ul>
<?php get_links('-1', '<li>', '</li>', '<br />'); ?>
</ul>
</li>
You can do one of two things with this code. You can delete it. Not a good thing. If you decide at a later date to use a blogroll you will have to recode it.
The better method would be to “comment” the code. ie make it invisible to the browser. Compare the code above with this “commented” code.
<!-- <li><h2><?php _e('Links'); ?></h2>
<ul>
<?php get_links('-1', '<li>', '</li>', '<br />'); ?>
</ul>
</li>
-->
Note at the beginning there is this <!--
and at the end there is this -->
That should “delete” (actually make invisible) your links or blogroll.