How do I create an alphabetically organized glossary of links?

I’d use the default Links section in the dashboard, then write a custom loop to sort them alphabetically (and with the rad big letters of the alphabet as headings).

Throw this in your theme’s functions.php file, then use it on any page with the [bookmarks] shortcode:

function bookmarks_by_alphabet( ) {

    $letter=""; // For tracking which letter of the alphabet we're at.
    $args = array(
        'category_name'  => '', // Category name of a category of bookmarks/links to retrieve. Leave this blank to get them all.
        'limit' => -1 // Show all. 
    );
    $output="";   
    $links = get_bookmarks( $args );
    if ( $links ) {
        foreach ( $links as $link ){

            if ( $link->link_name[0] != $letter ){
                $letter = $link->link_name[0];
                $output .= '<h2>'.$link->link_name[0].'</h2>';
            } 
            $output .= '<a href="'.$link->link_url.'">'.$link->link_name.'</a>'.'<br />';
            //echo '<pre>'.print_r($link, true).'</pre>';
        }
    }

    return $output;
}
add_shortcode('bookmarks', 'bookmarks_by_alphabet');