When people talk about "one-way links", they often mean a link FROM your website TO another website (often in a "Links" page). This kind of one-way link is detrimental to your search engine ranking - in effect, you are boosting the ranking of the site you link to.
One-way links coming IN to your website FROM another website are the best for improving your search engine ranking, especially from sites like Facebook and Twitter which have a high ranking themselves.
Reciprocal links (you link to them, they link to you) generally have zero effect, because you are boosting their ranking and they are boosting yours. However, if you had a link to, say the BBC website, and they had a link back to yours, then you would benefit, because the BBC website is likely to be more highly ranked than your website.
In short - go for one-way links FROM other websites TO your website, if you can. Otherwise, go for reciprocal links, especially to and from highly-ranked websites.
[Martin is also right in saying that good content, which includes your keywords and is easy to read, and
high numbers of visits to your website will also improve your search engine ranking.]
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