The value of the reciprocal link is dead now according to the SEO world... There is no harm in getting good quality links from other sites and directories but I wouldn't go filling your pages full of useless links just so that you can have a link back.
Just make sure you do your link building slowly - Google is known to devalue a site if it suddenly gains a massive ammount of links, do things slowly and "naturally" and you will see better results.
Also make sure that your links are from good quality site's - and that these site's are relevant to your content.
People say the reciprocal link value is dead in the seo realm, however, for people that use directories it may be a good idea just as a way to gain natural traffic. Anyway, its always a good idea to check the page rank of any page before you post your link.
I think the rule of the game now is keep your links relevant and make sure the sites you link to are high quality. I wouldn't get too hung up about page rank any more either; that metric is now seriously deprecated. you can figure it out for yourself if a site is worth your time.