It is a nice courtesy to let them know, but if it is a friendly linking and you can do it with anchor text they will more likely really appreciate it. You don't have to tell them, as if they are an active blogger they will know.
When someone links to me, I am able to check the incoming links and trackbacks. As long as someone has given proper credit when applicable, It is a delight to see the links as it increases my credibility and ranking based on the keywords in question.
Leave them a comment on their blog if you wish. That is another way to tip them off, and it's nice to get comments as you know then someone is actually looking at our blog and not randomly passing by.
blogging question - day 7 
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