If you're selling stuff, I would say "no".
What value does it add for the customer? As a consumer, if I want to buy something I've seen online, I'm going to look for other places online that I can buy that item for a cheaper price. If you can be sure that you have the lowest price....maybe link to your competitors to make a point. But that seems like more trouble than it's worth.
As a consumer, I'm also interested in finding out if I can buy the item at a brick-and-mortar location if I need it immediately. If you're linking to those retailers (and it doesn't negatively impact your business, say if you're the sole manufacturer) then again it may be worth doing.
Last but not least, as a consumer I'm interested in what other people have to say about your product and/or your services. Linking to positive reviews again may be useful, but shrewd consumers are going to be skeptical of the reviews you link to and will also seek out reviews from neutral parties.
Now, if you're selling (for example) brass widgets with inlaid mother-of-pearl doohickeys, and plan on simply linking to:
- Wikipedia articles on brass, widgets,
and pearl
- A page about the town in
which your company is located
- A blog
post or small town newspaper article
about your company, or
- A feel-good
story about how somebody used your
product to change their life
...then in my opinion a links page is completely worthless.
Maybe you've got something entirely different in mind...but in considering all of the above, I'm having trouble justifying the (admittedly small) effort.
If there's content you feel that your customers (and prospective customers) should have access to, put it on your site. Make your site into the be-all, end-all site for your particular product by educating your visitors (note: education != sales pitch). The additional related content won't hurt your standing with search engines, either.
EDIT: pnichols, in a comment above you link to a travel site as an example. In such a case I think there might be a little more justification to build a links page, but still not a lot....because when your visitors leave your site (conceptually, even if the page is still loaded in a browser tab) they're more likely to run across a competitor site or simply forget about your site if they see something compelling or shiny. So I think my advice above still stands: make your site the be-all, end-all place for what you're trying to accomplish. For a travel site, that would be including a weather widget (so your visitors see how nice the climate at the destination is), photos of the location (maybe you use some Creative Commons/commercial-ok photos or hook up with a photographer on Flickr) and some internal textual content about what to do and see.
Sticky, sticky, sticky. Obviously you don't want to try and force users to stay (as I've seen with some incredibly annoying sites that prompt you to bookmark them if you try to close the window, for instance), but give them plenty of reason to want to stay due to rich, meaty content.