If you've studied SEO for any length of time, you know that there are things you must do to your webpages themselves, called "on page optimization," and things external to your website, called "off page optimization."
While there are a number of tactics that fall into the off page optimization category, the most important is the building of quality backlinks. A backlink occurs whenever an image, a piece of text, or your full website url is linked "back" to your site from some other.
The best links are those that are "one-way," meaning that a site links to you but you do not link back to them. It can be beneficial to "trade links" (called reciprocal linking) with another webmaster for the purpose of gaining website traffic but it's not a strategy that will improve your search engine rankings or SEO.
As each page of your website should be optimized for 1-3 keyword phrases, it's best to build "anchor text links" (aka text links, hypertext links, hyper links, contextual links) that include the keyword phrases you are targeting. The more links you build, the better your ranking will be for the terms contained in the links.
Here's a perfect example of this in real life:
If you search Google.com for the term, "click here," you will find a page that gives access to the free Adobe Reader (a page off of Adobe.com) ranked in the first position.
This is an interesting/valuable observation as their page is not optimized for this keyword phrase at all. You won't find it in their Page Title, their Meta Page Description, or anywhere on the actual page itself.
Then how is this page ranked in the top spot for this term?
It's happening for one reason, and one reason only a huge amount of backlinks have been built by webmasters from around the world, that link to this page. Want to guess what keyword phrase they've used when creating their links? That's right... they're linking the term, "Click Here," to the specific page that is ranking in the first position!
As I write this, Yahoo reports that 2,878,898 links are pointing to this page.
This shouldn't be taken to mean that you should abandon your on page optimization efforts, but it does reveal the power of anchor text backlinks. The more links you build to your pages that include your targeted keyword phrases, the more likely your pages are to rank well for the terms... it's just that simple.