First, if you are an expert, bear with me for a minute while I help the less experienced in the audience catch up. If you don't know what a blogroll is, here is the definition: blogroll - a list of blogs on a blog (usually placed in the sidebar of a blog) that reads as a list of recommendations by the blogger of other blogs.
Now that everyone knows what it is and where it is let's talk about why it is important and how you can benefit from yours (and other peoples blogrolls.) Even if your blog uses the default setting of 'nofollow' on links in comments [see my article on why you need to remove nofollow] your blogroll doesn't. That means that your blogroll, along with everyone else's is a great source of links to related content. That means that other people who have blogs and put your site on their blogroll are providing a great source of one-way links to your site.
As you may know having links pointing back to your site is very important for ranking well in search engine results pages (SERPs). Plus they can be a good source of traffic. People who read blogs, on another blog may peruse the blogroll to find additional interesting content to read. That can mean a new visitor for your site.
For my SEO clients, I always advise that they have a blog and that they find related blogs with which they can swap blogroll listings. It really is pretty easy to do and most people that have a blog are more than happy to include you on their blogroll if you ask nicely. The best thing about being on a blogroll is that it isn't just one link to your site - it's a one link from every single page in that blog. So think of your mission like this - don't think of it as get listed on one blogroll think of it as getting hundreds of backlinks to your site.
One of my clients, Erin Kennedy, has a really good blogroll with lots of related blogs. Erin, who is a professional resume writer, has taken the time to research blogs that will be of interest to her readers and added them to her blogroll as a service. The by-products is that she can build relationships with those bloggers and get on their blogroll.