I don’t think you need to ask people if you want to link to them. For the most part, when you link to another blog or web site, you are helping generate traffic for that blog or site. In most cases, you are sharing the link because you think it’s worthwhile and you want others to be aware of the content. It’s win-win-win: You share the info with reader, readers learn something new, the linked-to blog/site receives a traffic boost.
There have been instances where one site links to another to flame or make fun of it. These are unfortunate, but there is no rule that says one site has to ask the other permission to link. Once you put something out on the internet, it’s going to be fair game as far as linking goes.
I do not usually ask for permission from any site I link to. I link to things because they are relevant (e.g., Helpful Blogging Links) and they will be useful to my readers. Sometimes I receive a thank you from the person I’m linking to, but it’s because they’ve figured out via their stat counter that I’m sending readers their way. It’s nice to hear from them, but I don’t expect anything in return. I’m sure that if they deem anything I write or offer as helpful, then they’ll link to me. If not, that’s OK too.
If you do decide to give the other blog/site owner a heads up about your link, you shouldn’t necessarily expect anything in return. They may or may not respond with a polite “Thank you”; certainly you cannot expect a reciprocal link just because you link to them.
The great thing about blogging and the communities it inspires is that everything is shareable.