This is a great question. Actually the best of the week! This is an area I have been running a series of case studies on. ( I will give some specifics in a later post ) For now lets talk about the bottom line and answer the question:
Can linking to other websites improve my rankings?
Yes, if done correctly. Let me explain. Let's talk about directories. We all know that we can get a ton of low level links to directories that are basically no names that carry little if no page rank. Most of the directories that are new have little links on each category or subcategory. What if we were to link to the actual page that our "anchored text" link was on?
It works really well if you have several sites with page ranks of at least 4 or higher at your disposal. You can just link to the specific page your link is on and improve that pages rank. Remember the earlier post on how Google ranks webpages not websites.
It does not just need to be directories, you can link to blogs you have posts on, you can link to articles that have been submitted (in your favor). You can also link to just regular webpages you may have a link on to improve the ranking of that page as well.
In turn helping these pages that link to you gain better page rank and popularity your website rankings can improve. Just make sure you are getting your main keywords or phrases anchored on the pages you are trying to improve.
This is a great strategy for improving your link popularity, increasing your traffic and getting better rankings. Keep in mind that the page your link is on needs to be pointing to a subpage on your site to help improve your "deep linking".
Test this out for a few of your pages and you may be impressed.