Site-wide links make your link to look artificial, as you'd have hundreds of incoming links with the same anchor text. side-wide links can actually hurt your ranking in search engines like Google, especially when site-wide links constitute a large percentage of the incoming links.
If most of your link popularity comes from purchased site-wide links, Google will eventually find and eliminate the value of these links. So it is advisable to buy/exchange few single links that would fly under the radar.
However, it makes me wonder how Google treats blogroll links. Most blogroll links, by default, are site-wide links - Going by the logic of anchor text, it would mean that it is better not to receive blogroll links from huge blogs having hundreds of pages.