By getting more links you have to your site (AKA backlinks), the higher listing you have with search engines. It also brings you more traffic. You can also exchange links with another site.
This in known as a 2 way link. They are not as good as a one way link where there is a link to your website only. A good way to get one way links is submitting a link to a directory website.
Each of these websites has their own rules. Many of them offer 3 choices. You send them your information (add link or submit link) and they look it over and decide whether to accept it.
One choice is a free submission. Some sites may say that with this choice it may take up to 6 months before they review your site. These groups want you to create links back to them so they can become bigger. When you do this then you are submitting a reciprocal link. This is a higher priority and it gets reviewed sooner than the other links and has other perks.
Then there is the paid for link called possibly a featured link. This link gets looked at the soonest and you get other advantages like being able to submit other pages in your website besides the main page. Submitting these links to so many sites can take a lot of work. Some sites offer to do it for you if you pay them. So that is something you can try.
A way of getting two way links is by exchanging links. You can just look for sites that you like and ask them if the want to exchange links. there are also link exchange places that help you to do this. They have many members who are looking to do this and they can request you or you can request them through the website to exchange links. I have been using one of these for 2 years.
This one that I use will ask the other site to put up a link first to your site if they requested the exchange. Then they check it and notify you that it was done and for you to do the same. Many of these sites will put your link on a page that is not connected to their website so no one will ever see it. The exchange group can check that the link is on the page but the page might not be connected to the website which means it does you no good. So you have to check this. There are many unscrupulous people on the internet.
When it comes to links to your website there is a difference of how much it helps you. The Google page rank is a way to measure how much a link from that site helps you. The higher the number the better. The numbers are from 0 to 10. Some experts tell you not to exchange links with a site that has a PR of 0. If it is a bad site, it could hurt you to have a link to it. Some say not to exchange links with a site that has a PR lower than yours.