I've never been very organized in keeping my Links section clean and up to date. In this blog's incarnation, I have decided simply to use the OPML file exported from my RSS reader. There are several data science links there that I read on a daily basis. You will also find politics stuff, some Spanish blogs, and some weird stuff that compose the bulk of my information staple. Feel free to subscribe to whatever rocks your boat.
I've decided that it would be a good idea to use my local installation of Tiny Tiny RSS to generate a feed of everything I find interesting. It's a good solution: it's fast, uses a standard format, doesn't depend on third parties optimizing it for ads and it's quite lightweight. If you are interested, here's the feed.