My favourite language is Lisp, in which I use "linked" lists all the time, but I never use them in C. Use of lists without a garbage collector and either dynamic typing (as in Lisp) or strong static typing (as in Haskell) is a pain, and C has none of these built in. This means that, in C, you need to allocate memory every time you add something to your list, and hold the pointer to it in order to free it later. You also need to keep track of which types are stored, and where.
If your problem requires a lot of list processing, use a language more suitable for it. Otherwise, use extensible arrays, which are easy to implement in C.
conceit also pointed out that lists also increase the likelihood of cache misses, which slows down the program a little bit. Many C programmers care about that. I don't share their priorities - it is important to me, but less so than correctness, ease of programming (allowing more time for exploration and finding a more efficient algorithm), and response times.