Firstly, I don't know what 'pinging' is and why is it important.
Pinging will notify the search engines of a 'change' to the URL you are submitting. A lot of the 'lower quality' links often struggle to get found and indexed, so pinging is often used to help get them noticed. If you have authoritative, genuine links, then you needn't ping - the chances are the search engines will find them.
Secondly, Should I go for it?
Pinging links manually one at a time is time consuming, and the time could be better spent elsewhere. That said, you can use a service like http://links2rss.com/ to paste 50 links into a single RSS feed, and then use your pinging service to ping the single RSS feed. This is bordering on the grey hat side of things - so I might get a few thumbs down, but its quite a common practice.
Lastly, what kind of links should I ping regularly?
Low quality links which the search engines might struggle to find - blog comments, forums, articles etc. Although you should be placing less emphasis on acquiring these links as they become less and less beneficial for rankings.
I researched on google and got a feeling that only blogs should be pinged because they are updated regularly. Is that so?
No. Although blog pinging is common (Wordpress has a section to paste a list of ping sites) and good practice, you can ping any website, link or blog.
Hope that helps.
Cheers
Andrew