Link Building is the process of creating inbound links to one's own website. This can be done by reciprocal links, being listed in e-zines, newsletters, directories, search engines, etc. Link building is one of the best ways to make your site very popular. Reciprocal links or link exchanges is the process where two webmasters agree to show the others link on their website. After Link building when the number of sites which link to a particular site, is known as link popularity, which helps in the search engine ranking of a website.
There are many advantages of Link building.

Link building helps you in getting quality traffic from particular related sites which increases sales.
When there will be high quality incoming links the site will also be seen a valuable resource.
Link building helps in creating awareness, visibility and credibility of your site.
The site also obtains wider search engine exposure.
It also helps the website get indexed by search engines.

Today links have become important for all websites and they are worth the money. In fact, there are several companies dedicated to selling links (as opposed to companies that you can pay to do link building for you).