You know, go to all of those sites and figure out where the html code is... Figure out if I need to upload the icons... Hang out with the cool blogs to determine which sites I need to link to... You don't want to leave the most helpful sites off of your list.
Then you run the risk of cluttering up your blog. A few little icons are fine, but if you have 20 little pictures down at the bottom of each post, it can be visually overwhelming.
Well, I found an alternative. It is a site called Add This. You can visit them at http://www.addthis.com. They have done all of the leg-work for you. Notice down at the bottom of this post the "add this" button.
Click it. Try it out. See what it does.