Should I add links to other websites in my blog?

Yes, you can add links to other websites on your blog. It is better to use nofollow tag in the anchor text of the link. This will not pass any link juice to the website you are linking on your blog. Adding a dofollow link to a reputed website like Google.com, cnet, Wikipedia etc. will not affect your blog.
Remember don't add dofollow links in the sidebar or footer of your blog. This will negatively impact your own blog. Instead use nofollow tag in every external links from sidebar or footer.
You can add nofollow tags very easily. Here is an example of nofollow link.
< a rel="nofollow" href="http://example.com" >Example

Yes, I too was searching for this query and for me I will not use the external links on my website as they some times counter attack the Google Adsense policies. I just use the reference links in case of extreme need but generally avoid such practices on my website to keep it free for any kind of violation in future.
But if you want to provide any external link, you can use it as said by the Muddassir in the above response.