Quality backlinks are an important part of raising your rankings, second only to quality content. So it might seem like a good idea to trade links with other webmasters and to some extent, it can be. But some sites will trade links with many websites, as part of a link scheme. A link scheme is a link-trading setup between multiple websites where each website hosts one or more links from the member sites of the link scheme. This can get you a robust link profile fast, from other sites with other robust link profiles.
These used to be very common but are less so nowadays. The reason is that Google has caught on, and not only detects and punishes link schemes, but also explicitly bans them in their terms of service. Google takes these so seriously that detecting a link scheme is grounds for a severe rankings penalty.
Read more about link schemes and other bad linking practices on Search Engine Land.