Lately, everyone seems to be paying for links instead of exchanging them with other website owners.  It's simply a question of time vs. money -- if you have the time to go through the exchange process then go ahead, if you have the money and need the links quickly then pay for them.

In both cases you should carefully check the validity of the links that are being returned to you, and be especially vigilant when paying.  ALWAYS look at the source code of the site linking to you and look for the common tricks like rel="nofollow" and links built with javascript instead of normal href links code.  Also look at the robots.txt file for that site to see if the particular directory your link is coming from is excluded from spidering.  There are dozens of other things to look for, so you have to decide if it's worth your time to check them all...