Having appropriate links to your website can only be a good thing… or can it?
The idea is that the more relevant links you have coming into your website the more authority you have.
About five years ago, the main strategy for building links was for webmasters to swap links (reciprocal linking) . I wasn’t doing it myself but I got the odd e-mail to some of my sites along the lines of, “If I link to you, will you link to me?” So, you ended up with lots of websites with ‘links’ pages. The problem is that so many of these ‘reciprocal’ links simply weren’t relevant.
Of course, search engines rely on giving good results so their criteria for who they place at the top of their search engines, as their algorithms have improved, has become more focussed around the basics - quality and relevance.
They still put a lot of emphasis on incoming links, as well as out going links, but the quality of the sites you are connected to can also help or damage your own reputation.

And, arguably, it doesn’t stop there, with the search engines creating the connections once, twice, or more times removed, ie. the site that’s linking to the site that’s linking to you, could affect your ranking.
For instance, if you have a reference article from an industry magazine website this could be good, depending on the anchor text and general content of the site. Compare this to a link from a spammy website (with low page ranking) about something off-topic.
No following
Some websites have got around this, in terms of their external linking, by using a tag called No follow (looks like this). It tells a search engine not to take the link juice with it when it follows the link, hence, not adding weight to the target page.
This stops people trying to abuse links.
Laws of attraction
With the advent of user generation through blogging and social networking, a more effective link building strategy now in my opinion is in content generation, with the added bonus that the search engines love new fresh content.
Here, we are talking Blogging, article writing and any aspect of your website, including tools and games, that ‘attract’ people - both physcially, in terms of visitors, and arguably more importantly, through links.
The one key important thing to remember is your website goals and traffic funnel.