not for different pages, but for different page types... anyway, you can create different link categories, and place them in different files that show page types (category.php, index.php, home.php) or place it in sidebar.php and add WP Conditional Tags - to show different links categories on different page types....
anyway, if you want i can help you, only not today
or there's a lot of usefull information at
http://codex.wordpress.org/Main_Page