What to Share
You probably don't have a single folder already created that you want to share on your blog. A good way to way to separate the subscriptions you want in your blogroll is to create a new folder to put them in. Manage Subscriptions > Change Folders > New Folder > Blogroll > Okay.
Now you have added one subscription to a folder called Blogroll. Add any others that you want to include in the blogroll, then follow the instructions above to make the Blogroll folder public and grab your blogroll widget.
If your organization system just won't work if you relocate subscriptions to a special blogroll folder, you may want to choose a folder whose theme is similar to the theme of your blog. If you blog about books, then you likely have a folder full of subscriptions involving books. Use that one for your blogroll.
If your blog has no theme or is just a personal blog for friends, you could add a folder for all your friends' feeds. Making a friend folder for your blogroll widget lends a social networking feel to your blog. It also encourages your friends to check out each other's blogs and websites.
Overall, blogrolls are a great way to share traffic and "link love." Consider those points in deciding what you want to include in your own blogroll. Then think about whether your readers will actually be interested in your sister's knitting website, if your blog is all about html.