Yes.
Persuading other web sites to link to your own could be one of the cleverest pieces of marketing you do - it's low cost, highly effective at driving traffic and it can have a dramatic effect on your search engine ranking. Links are one of the most popular ways for people to find new sites and so the more quality sites that link to you the better.
1. you want quality links not quantity. this means, good quality sites that would be relevant to browsers of your site. This is the only rule you need to follow.
2. Find out who links to your competitors, in a google search type 'link:www.cometitionwebsitename.com' and you will get a list of sites that have links to that site.
3. Write down 5 simple points as to why these sites would want to link to yours. This will be used in your link request emails.
4. place a link to the site you intend to ask to put your link on their site before you ask them. when you send them the request email you can state that you have already linked to them and that you would appreciate it if they reciprocated.
5. keep a detailed list of who you have asked for links. there is nothing more annoying than being asked more than once by the same people with the same pitch to link exchange.