Link building is an essential search engine optimisation task!
The more "good quality" sites that link to yours, the higher link popularity, the higher your website will be ranked. All of the top search engines take into account the number of links pointing towards a site as a measure of its link popularity when calculating relevance.
Depending on the search engine, the only way to have a chance at a decent ranking is increase link popularity - other sites linking to yours. The link popularity, external links to and from your website, is to be taken very seriously as link popularity can be the determining factor between being found and being buried in the search engine rankings. The best type of link to get involves one person telling another person, either explicitly or implicitly, they should click the link and visit the site at the other end.
If you want people to link to your website, you have to provide valuable information for their visitors and present that information in an attractive format.