How to alphabetize link category listing in WordPress Links Page plug-in by Owen Winkler:
http://redalt.com/support/topic/205 (removed link as it results in page not found now…)

As far as ordering the categories alphabetically, you’ll probably need to change the query within the plugin. Where the plugin says at the end of one line:

FROM {$wpdb->linkcategories}”);

Make it say:

FROM {$wpdb->linkcategories} ORDER BY cat_name ASC”);

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Plugin Name: Links Page
Plugin URI: http://www.asymptomatic.net/wp-hacks
Description: Output links onto a static page, filtered by a dropdown list.
Version: 1.0
Author: Owen Winkler
Author URI: http://www.asymptomatic.net/
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Thanks, Owen!