Depends upon how you look at it…
PR Boost: Google Page Rank is spread via ‘votes’. A ‘vote’ is a direct link to your site from another site. The higher the PR of the site linking to you, the higher the PR that passes to your site. The higher your PR (to Google), the more Google considers your site an authority site.
Traffic: If your link is on other sites (especially gambling related) you will get some (limited), but very targetted traffic.
Spidering: An easy way to let the search engines know that your site is out there (and the best way, IMO) is to have a link on another site which gets spidered a lot (usually the higher the PR, the more often they are spidered).
Giving Options: To give your visitors options. They might hit the ‘back’ button, but if they see another site of similar content… it is a good way to make your site of use to them.
Hope this helps.