Max ... I haven't found one designed for that either, and I've looked too.
However, one way to do it is to add the
Widget Logic plugin and then use 'logic' to tell WordPress when certain groups of links should appear. You can add the links manually to a text widget or use something like
Links Organizer and add that code to a text widget. Then in the little box that Widget Logic adds to the text widget you can put a statement like this:
is_category(X) || (is_single() && in_category(X)
You put the ID number of the category inside the parentheses and the text widget holding the links for that category will only be called to appear when the logic matches what you've entered. Depending on how you write that code, the links can appear only on the category main page or on every page/post within that category.
You can also use statements like these to have links only appear on the main page, or just category pages, or tag pages, etc...
is_category() || is_tag() || is_paged()
!is_category() && !is_tag() && !is_paged()
The plugin has good documentation but feel free to ask if you have any problem getting it to do what you want.
It probably would be good for more blog owners to use this or something like this so that more category trades can be done between blogs.