I asked this exact question to Google, Yahoo, MSN and Ask last week at the SES conference and the answer was the same with all of them. There isn’t much difference between a sitewide link and a single link coming to you from a site. Their exact words were that there were “diminishing returns” to sitewide links. They further explained that they basically take the best link from a site and give you that credit. Normally this would be the home page, but not always, say a news story got picked up on an internal page and was stronger than the home page.
The bottom line is this, don’t be afraid of sitewide links, especially as Gooner said, they help more with traffic since you are providing many more chances for a user to come to your site.