Ben Engebreth, a compadre of mine at the Eyebeam OpenLab, has released Slashlinks, a tool for automatically mirroring links from del.icio.us to your personal web site. At first glance it might sound like a simple archiving tool, a way to get your data out of del.icio.us, but what it actually does is reproduces your del.icio.us links on your web site.
Check out Ben's links for an example. If you click on a tag name, you can see that not only the links but the underlying tag structure has been reproduced locally. Once the links are on your site, you can style them how you wish (as Ben has), publish them where you want, etc. And Slashlinks will also keep your local links fresh...if you keep using the publishing tools at del.icio.us to add links, they will automagically show up on your site.