Link building is important to a website. A hyper-link to your website is like a vote for your website. The more votes you have indicate to the robots that your website is worth something. Better still, and more valuable, are the votes you get from your own industry sector and even better than that, are links or "votes" from your industry sector from their home-page, which is usually their most important page.
One-way links to your website rather than reciprocal links are also invaluable. The robots place value on the actual links themselves. If you link to a neighbourhood of links (a link farm) then this might be viewed poorly. Or you hide links, or you link to a website that has a dubious reputation or uses techniques to artificially increase it's importance or relevance, then that will count against you. The message here is be careful with who and with what content you link to.