Value of links on other sites

How much does it matter if other websites provide a link to your site? Presumably the importance of the linking site matters too?

As most sites who provide links want a link in return is it worth creating a links page where people can add their links as long as I get one in return?

Free/natural links are the best.

I would never 'exchange' with anyone though.

And as long as the linking site is not spammy. Some sites considered making "sites" for the sake of backlinking the intended target. This is a bad idea, and a bad practice. It lowers your chances of being ranked better.