Google (in particular) and the other search engines are smart enough to see a link farm as a site that is trying to artificially the page rank of sites. Adding your site to a link farm can actually decrease your page ranking.
You want to build inbound links from sites with recognized search engine 'authority'. In other words, sites with a lot of heavily indexed content. Preferably, you want to add very deep inbound links to sites that are not only carrying a lot of 'weight', but also sites that are in your own niche.
A few years back, a link was a link was a link. And webmasters were spamming the entire Web with their links. Today, the search engines are wise to the trick. That dog ain't gonna hunt no more. ;)