One of the greatest things about WordPress.org...

is the enormous plug-in ecosystem. Latest example: I wanted a way to backup and reimport my linklist (which I just added). I figured out how, using a direct link to the OPML file and the default Blogroll importer plugin, but that plugin blows away the categories. Since WordPress doesn't enable you to even add categories to links in batches, that's a real problem. Enter Import Blogroll With Categories. It solves the problem perfectly, even adding said cryptic link to the OPML file to the Links category in the WordPress control panel's sidebar.