While I like Simon's answer, it's also important to note that linking strategies are a natural part of SEO. While it's preferable that you pretend Google doesn't exist, Google DOES exist and they DO like links. As such, you have to have a linking strategy. When you go to build your links, you have 3 basic concepts of linking (from an SEO view). These concepts have very different ROI.
- One-way links (they link to you only). These are universally accepted as the best kind of link and it's well known that Google likes these best. Most common SEO tactics to get these are called "link bait", where you write a high quality content page and draw interest to it. Incidentally, social media links (including blog comments) don't fall into this category because they typically employ nofollow, which passes no PR (doesn't mean they have no value, only that you won't gain the "link juice" from a normal link).
- Three-way links. "A" links to you and you link to "B", where "A" and "B" are run by the same person or someone with a vested interest. Harder to track but also riskier because a common tactic employed is that "A" is a worthless link farm and "B" is a high quality site, meaning you're not getting any real PR value.
- Reciprocal links typically have the least value of any strategy. As Simon pointed out, a common mistake here is to build solely for SEO purposes. Back in the day these were all the rage, but they had a hidden pitfall: they can waste your time. Say you sell tires. Along comes a florist and you reciprocate links. But what relationship do you have to them? If you don't pay attention and do this right, you might not lose "link juice" (and this is a bad way to look at outbound links) but you might waste your time that you could have been spending doing something productive (like writing a blog entry). Anytime you put a link on your site for reciprocal purposes, ask yourself what the value of it is. Because this does take a fair amount of time to properly vet links, it's not something that people advocate as a primary link strategy.