In Google, links that are nofollow don’t pass PageRank and don’t pass anchortext. That means they are worthless as far as SEO is concerned. So, if you build links for search engine optimization, make sure they are dofollow.

Or, as Matt Cutts from Google states it: "The essential thing you need to know is that nofollow links don’t help sites rank higher in Google’s search results."

The next thing that is important: Relevancy. A link is much more valuable, if that link is related to your site. That way everybody wins: The site linking to you, your site and as the visitor now likes it, the search engines are happy too.