You know what, it all depends on what you want to accomplish. If search engines are your target, then a solid link strategy is a must. Especially if you are going after Google...
It's depends a bit on your competition though. Do a search for you keywords and see what you are up against. Study the first page results to see what you need to do. Look at their PageRanks, Number of Inbounds... "On page" factors are important, but NOT as important as "off page".
Off page optimization means everything. Many say content is king... Well linking is the Royal Army and will give your pages power in the SERPs.
DON'T go overboard and add to many links at once. You want to get links quickly, but not to quickly. If you join a link exchange and get 5000 inbounds overnight, Google will most likely penalize you for it. They can measure how fast you are adding links and they want to see a natural rise.
With linking it is more about quality than quantity. 1 PR6 (relevant) link to your website can do as much if not more than 50 PR0s.... one link from an authority site can do wonders.
It's also important to make sure you are getting proper anchor text with your inbounds.
Bottom line is study your competition in the SERPs and do better.
Just be careful in applying every tips you receive about link building. Many are into spamming and I do not what you to be a victim.
Reach Your Potential
We live in an uncertain employment climate, our forefathers had it great, secure jobs, pensions, the lot. However times have changed. Companies no longer want you for life, only for as long as they can't find someone else to do your job. Outsourcing is all the rage - get the same work elsewhere, cheaper, and increase profits - forget about your family, your mortgage, it's all bottom line these days.