A blogroll is a list of blogs you read, support, or recommend. The list can include friends, family, or strangers. Typically, it's best to include blogs that focus on the same topic you do. For example, you might want to list blogs about gardening if you write about gardening, instead of listing, exclusively, blogs about dogs.
This is what my personal blog looks like:
The column on the left is where the posts are (where I look very cute with my grandma) and the column on the right is where people can read about me, find my blogroll, and my other projects. I've listed blogs I and read regularly.
In the early ages of the Internet, bloggers would exchange links on each other's blogrolls for exposure. These days there is no guarantee that because you list a blog that your blog will be listed in return. In some circles it's considered bad form to ask for a blogger to list you.
It is, of course, never bad form to thank someone for listing you.
Finally, with all of that in mind, remember that what you write on your blog, and who you list, is your call.