The Links section was removed in WordPress 3.5.x. If you were using that section prior to the update it should still be there, but if not, it was removed. A statement from the WordPress development team said that a plugin adds the feature back in.
This is the plugin that adds the Links section back in.
WordPress › Link Manager � WordPress Plugins
The WordPress team is pretty smart, but not always brilliant.
Actually, I think it has always been a bad idea to include long lists of sidebar links to other sites on all pages in a site. Penguin penalized some sites that were doing this, which could have been the driving factor for the removal due to the default list of links pointed to WordPress sites. I have always modified my themes so that the Links section only appears on the home page and I limited the number of links to 4 or 5.
"Democracy is two wolves and a lamb voting on what to have for lunch. Liberty is a well-armed lamb contesting the vote." -- Benjamin Franklin