Is it worth doing? Absolutely is the answer! This can be labour intensive, time consuming and even frustrating. Ultimately it is still one of the trump cards to higher ranking.
External Links & Content
Linking to external websites and specifically to similar or related content is a very useful tool for the search engines perception of the importance of your site. There are masses of freely available content you can use from YouTube videos through to product ratings, Wikipedia content and News Feeds.
Embedding External Content
There are many different ways you can embed external content within your website, for example some packages come with their own RSS Widgets to allow you to easily embed RSS feeds from anywhere. The most common ways to embed external content are:
1) RSS Feeds for news feeds and frequently updated content
2) Widgets: often used for embedding weather information and location maps
3) External Embed: Such as embedding Videos from YouTube where the content is hosted elsewhere or product reviews.
RSS Feeds
RSS Feeds or Really Simple Syndication is a structured in a very similar way to your XML sitemap. They are essentially the textual content from external web pages that can be 'pulled' into your website. There are a number of reasons why it is great to embed them;
1) The content in the Feed changes often which makes your website more alive to the search engines, very useful if you do not change the content regularly as the more frequently your website changes the more frequently the search engines will visit your website.
2) If you have space to fill on your site they can provide free relevant up to date content which looks professional and is informative for your visitors.
Sources for RSS feeds are everywhere from BBC News to Blogger just do a search for RSS & the topic e.g. RSS Technology or create your own. There are many free tools available to embed these feeds in your site too. Do a search for feedzilla and newsfeedmaker.
Widgets
Widgets are a great way to add content to your site; you might have noticed local weather or travel information on a local businesses website. There are millions of widgets available on the web; seach the web for widgetbox and bravenet.
External Embedding
Embedding external content is perhaps the easiest way to add someone else's content to your website. You will notice on a lot of websites such as YouTube you will have a share this or embed area which will contain some code.
All you then need to do is paste this code into your webpage where you want it to appear. In this YouTube example which is embedding a Flash video you can also change the parameter param name="movie" to whatever you like, this example is a Michael Jackson video so I might want to change this to param name="My Favourite Michael Jackson Video" to tell the search engines why it is there.
External Links
Any other external links should always be relevant to your websites content and do not be scared to change the title value in an external link to something more relevant such as Free Business Directory you could change to Builders Directory or anything else you like. When signing up to Free Business Directories that require a link back to their site always try and link back to the page on their directory that contains your information.