I have an SEO site, and I am linking to all my clients to show my portfolio. Will this be a problem as it will increase their Pagerank, and will it harm them? My visitors want to see my previous customers, so I would like to keep it there.
If I were a customer, whatson, I definitely would not want my SEO firm linking to me. First, I wouldn't want my competitors to know that I even used an SEO firm. Second, if my SEO firm somehow ran afoul of Google or another SE for some real or imagined spam technique, I wouldn't want the SE to have a convenient list of sites to check and/or penalize. I'm not saying that you are doing anything risky, whatson, but the unwritten SE rules change, and even seemingly safe practices can fall out of favor.
I'd save the client names for private meetings with potential clients.
As Macguru said you could save a portfolio copy with client links to CD to show prospective clients. You could also contact clients and ask them for a review of the service you provided and list these on a testimonials page without an actual hyperlink to the client. If you still deem it neccesary to include clients links on your site for visitors to see, you should consider picking several clients and listing them with their review of your site instead of your full client list. It is a possibility that someone could take advantage of this. It also exposes your client to scrutiny from their competition.