Wordpress support says; Links - displays list of links (blogroll) separated by category. No configuration items. Pages - displays a link to each Page. Title — description that appears over the list of pages. However, i can't understand for what things they should use. Links - using for link exchanging with other websites? Pages - using for internal site's links?
OH! Links are just sites you're linking to. They appear in the sidebar of your site. Pages are for pages in your blog. Like if you have a Contact page, About Us page, etc. they'll appear under Pages.
difference between widget-links and widget-pages, Pages - displays a link to each Page. Links - displays list of links (blogroll) separated by category. No configuration items.
You can rename them too to things like Sites We Like or Our Pages. And you can include only which pages you want and decide how to sort them in the display.