Favorites? Do your mean this?
Links widget - Link rating, you take control over the ordering. You will need to set the rating option for each link. Sorting by Link IDs will display the links in the order in which they were created.
I'm not clear about what you mean at all. So this is a guess. I believe you may be referring to a Blogroll of links to similar sites that you like to visit. If you are logged in as the Admin who registered the blog then there is a Links section in your dashboard that you can access. There you enter the links and create a blogroll which you display in a Links widget.
Create a blogroll http://en.support.wordpress.com/blogroll/add-a-blogroll-link/
See here > Links widget http://en.support.wordpress.com/widgets/links-widget/
May I suggest that you follow the step by step learn WordPress.com tutorial prepared by Staff? Here's the link which is also found on the bottom of your Admin page http://learn.wordpress.com