Lemmy, this site is probably the best "resource site" for learning how to start up a successful link list. Seriously, get to know some folks here and post specific questions and I'm sure you'll get lots of useful feedback. As far as getting started, basically the first things you'll need are a domain, hosting and a good link list script.
If you do a search you'll find lots of threads on the different scripts available. Also, if you're new to webmastering, you'll find lots of help in the newbie forum here too.
Welcome to the board, btw.