The number (and quality) of external web pages linking to your site is an important factor that Google uses to determine how your site should be ranked in organic search results.
That explains why you frequently get emails from desperate webmasters requesting you to participate in reciprocal link exchanges for "mutual benefit". And then you have the paid links business where one can buy text links on other websites with the sole purpose of increasing Google Juice.
Link building through paid text ads, link exchanges or any artificial methods requires effort but are the gains worth the time and money spent? Probably not.
Link importance varies with location
The initial Google PageRank algorithm would give equal weight to every link on a web page irrespective of the location – the links could be in the sidebar, the header, inside the actual content or anywhere else and they’ll still get the same value from Google.
That, according to Matt Cutts, has changed and Google can treat links in different places differently. For instance, if a link is placed in the footer or is repeated all across the site (like in the case of text ads), it might not carry the same weight as a link that’s in the actual paragraph of a text.
SEOmoz recently published a list of factors that search engines consider when judging the value of a link and their finding also suggest that search engines assign weight to links based on their location on the web page.
Internal links in the footer of web pages may not provide the same beneficial results that those same links will when placed into top/header navigation. Others have reported that one way the engines appear to be fighting pervasive link advertising is by diminishing the value that external links carry from the sidebar or footer of web pages.
I think this will also impact blogrolls or links that are available sitewide but have been earned and not purchased.