These days people do link sharing to increase the page rank and link popularity. This way any search engine going to one site will also get references about the other linked site. This way a site linked to another site having good ranking will also gradually get an increase in its ranking as more and more people visit that site and click on it.

But more important thing is that great care should be taken while putting a link. A user has to use good anchor-text key words. By good text key word I mean a keyword which is more often searched on search engines. Please note that one key word that is important for one search engine may not be important for other search engines also because the criteria of one search engine is different from other search engines.

For getting good keywords for all search engines I strongly recommend you to visit www.keywordfindertool.com which will give you thousands of top key words for every search engine.

The anchor text that you use, should reflect the keywords of which you are trying to get a higher listing for. It should also accurately describe what information will be found on the next page if you click on the link.