There's a number of linking methods available and the main ones are summarised below. Please note that this is something that should also be discussed in detail with your web designer.
One Way Links:
A one way link is simply a link to a page that has no link back to it from the page it is linking to. It's a pretty strong vote and has been considered that way for quite some time.
These are more common. Site "A" will link to site "B" and site "B" will link to site "A". Typically they will link to each other from the same pages but this is not always the case.
Three Way Links:
This is where site "A" will link to site "B" and site "C" will link to site "A". To all intents and purposes site "A" is creating a one way link to "B" and in turn site "C" is doing the same to "A".
As mentioned, linking should not by any means be the be all and end all of your SEO campaign and all elements should be considered thoroughly with a professional web designer prior to starting any SEO campaign.