If I understand you correctly, it would be similar to signing guest books and blog’s, sort of. IMHO they have value, but that value is demising more and more. Firstly the site you tag, often do not relate to the subject/them of your own site, mudding up the clarity of the them, of your own site. Secondly these sites more and more often employ the rel = nofollow to avoid spam and irrelevant tags making your tags useless.
My advice would be to tag where it feels natural, where you have some relevant to say. Don’t tag just for the link