The best analogy is the one of a starting business that knows nobody within their area. In order for them to get new prospects they start to network. At first they meet a few people but as their business grows so does their network.
Search engines use the same concept. The more web sites that you have linked to you the more important you must be. Now realize, not all business contacts are the same. There are some people out there that know everybody and are better resources for you to attract new prospects than somebody that is just starting out. The same concept applies to links. Therefore, all links are not created equal.
Here is some wisdom. Check out your competition and find out who links to them. You can use commands like this with Google >> link:www.magnetiks.com. Do not worry if you forget the command because all you have to do is click advanced search in all search engines and they will have a spot where you can put your url to check people that are back linked to you or your competition.
There is a lot more that meets the eye with linking but this is the basic concept.