That depends. Google PPC and paid advertisements on Yahoo and Bing as well as the other major search engines are recognised for what they are and your site receives no credit for them as a link.
One off payments to get into something like the Yahoo directory is worthwhile since the directory is well respected and used by search engines.
The dangerous territory are offers to get you "1,000 links for $20" or similar because you will pay your money and define the text you want. Great so far and soon you will have 1,000 identical back links.
But search engines know that real links are not all the same. Real people linking to your site do so with different text and in different contexts.
So the search engines will quickly pick up the fact that all the links are identical and very soon after that they will discredit them.
The paid text link programme is often used by SEO companies that verge on the edge of Black Hat techniques without actually going there. They will get your site up in the rankings long enough for you to pay their bill.
Shortly after that the search engines spot the signs that these links must be on a paid for programme and you sink back into oblivion.
Google does say they will not penalise paid text links so long as they are declared as such. You can read a very good article about them at http://www.quickonlinetips.com/archives/2007/08/how-to-make-your-paid-text-links-ads-google-friendly/
But declaring them somewhat defeats the object so avoid mass link programmes, not so much because they cause a problem but more because they waste your time and money.
I'm Tim Hill, a Search Engine Optimisation and Online Marketing specialist. I created this site to help others understand that SEO is not a mysterious black art!.
If your a newbie try the Getting Started in SEO page, otherwise feel free to dig around and learn more.