But how do you save this information into your database?  This is a three step approach.

1.  Add the fields to you database:

add_action('activate_geo_blogroll.php','geo_blogroll_update_db');

function geo_blogroll_update_db(){
   global $wpdb;
   $wpdb->query("ALTER TABLE $wpdb->links ADD COLUMN link_city varchar(255);");
   $wpdb->query("ALTER TABLE $wpdb->links ADD COLUMN link_state varchar(255);");
}

2. Add text fields to the link admin screen:

add_action('admin_menu', 'add_geo_meta_to_links');

function add_geo_meta_to_links() {
   add_meta_box ('geo_link', 'Link Geography', 'geo_blogroll_form', 'link');
}

function geo_blogroll_form () {
  global $link;
?>

<table class="form-table" style="width: 100%;" cellspacing="2" cellpadding="5">
  <tr class="form-field">
       <th value="top" scope="row"><label for="blog_city"><?php _e('City'); ?></label></th>
       <td>
           <input name="blog_city" type="text" id="blog_city"
                  value="<?php echo $link->link_city; ?>" style="width: 95%" />
       </td>
  </tr>
  <tr class="form-field">
    <th value="top" scope="row"><label for="blog_state"><?php _e('State'); ?></label></th>
    <td>
      <input name="blog_state" type="text" id="blog_state"
             value="<?php echo $link->link_state; ?>"  style="width: 95%" />
    </td>
  </tr>
</table>

<?php } ?>

3. And finally save this information to the database every time someone saves a new link or updates an old link:

add_action('edit_link', 'geo_blogroll_save_meta');
add_action('add_link', 'geo_blogroll_save_meta');

function geo_blogroll_save_meta ($link_id){
  global $wpdb;
  $sql_statement =  "UPDATE wp_links SET link_city='".$_POST['blog_city'].
                              "', link_state='".$_POST['blog_state'].
                              "' WHERE link_id =".$link_id.";";
  $wpdb->query($sql_statement);
}