If you want to rank well in Search Engines, then don’t buy or sell links. This is a myth.

Advertising is Legal
Why? Because advertising is legal. And paying other sites to display your ads is legal. Search Engines know this. Google knows this. Yahoo knows this. MSN knows this. People PAY Google to be advertised. People PAY Yahoo to be advertised.

The problem arises when people use this to take advantage of search engines. To solve this problem, search engines came up with NOFOLLOW.

Use rel=NoFollow
When you sell advertising space on your site, make sure to use rel=Nofollow on those links. A nofollow on the links to other sites means that you do not vouch for those sites. That is, major search engines will not see those links as votes to those sites and wouldn’t be seen as an attempt to game the search engines.

This will be beneficial for your site in the sense that it doesn’t leak out PageRank to your advertiser’s sites, and if they are penalized or banned, it won’t affect your rankings.

Personally, I would not suggest buying links to improve SEO rankings. That’s the wrong way to go. Buy nofollow links that will bring you traffic instead. Hire someone to submit to free directories instead, write articles and submit them to free article directories, and socially bookmark your articles on your sites. Those are definitely better options than paying for links, the effects of which will only be temporary.