Getting quality links to your site is one of the best SEO strategies out there!
Some people try to get their website linked on as many other sites as possible (often fake websites built only for this use). This strategy is not effective and may actually be counterproductive.
Instead, links from websites with domains that end with .edu or .gov are best for SEO. These sites have high domain authority, which means that links in their sites are rated more highly by search engines.
To know how authoritative a website is (and therefore how important it is to get linked there) use a Domain Authority Checker.