Establishing good links to your site is an important aspect of SEO. In simple terms when other sites link to yours the software at the Googleplex thinks your site must be important, and this improves your site's ranking. OK, I know, that's a bit simplistic but you get the idea.
Chasing one way links is time-consuming and frankly hard work. Think about it, other site owners are all busy trying to get one way links to their own sites, why would they link to you?
The answer is to create content on your site others will want to link to. Easier said than done I agree but get it right and the links will come and if you are lucky from some decent sites too. Think about what you can offer that others can't.