In the WEB-world links are everyhing. Without links, nobody will find Your web page, your services, goods and yourself. First, nobody is directed to Your pages, secondly no search engine will think You are reputable enough to get any attention. You'r missing in SERP-s.
Not every link is good, valuable desireable. Links to Your web-page show's that somebody likes or needs Your page for some reason. More links, driven by genuine interest, more internet currency You have.
how to build high-quality links?
1. External links
Link has to come from other website, from the different domain. Internal links are not treated as so valuable as external links. You may inter-connect all Your website pages in numerous ways, it doesn't generate extra value.
2. Links having anchor-text
It's much better then someone links Your web-page using anchor-text, than just putting You URL on the page. Best Ice-Cream in the world link tells something about Your web page and is considered to be neutral or objectice opinion (if this is external link). Clever search engines compare words in the anchor-text with the content on Your page (title, description, keywords, headings and body text) and evaluate, is this relevant link or not. Thats why the meta-data quality is so important.
3. Links from high-ranked pages
This is obvious, that higher-ranked pages have more right to say, who else should be valued and promoted in WEB-world. Google is very critical about linking pages and ignoring low PR pages at all. Very good tools to determine donor site quality are SEOmoz Linkscape and Google PR.
4. No link spam
Links from blogs, forums, social networking profiles, comments etc are low-quality links. Often treated as link spam, often equipped with "nofollow" attribute and not counted at all. Genuine links from high-quality content pages are taken much more seriously. Link farms, link directories, having thousands outbound links are not passing almost any value at all.
5. Avoid "nofollow" linking
Few years ago (probably on 2005), Google started initiative, there links with "nofollow" attribute will not pass on any value or rank. Many blog environments and forums started to use default "nofollow" linking in comments and posts to avoid link spam. So, be sure, if You are setting up links, that no "nofollow" attribute is used.