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Will links to the sitemap help in the long run? I would think so, any link will help. With a high PR on your sitemap, you can push certin pages higher then others. I would not go find links to your links page, unles you are a directory and plan on sending your traffic to other sites.
If every page in your site is equally valuable for content or sales, go for it. If other sites would think it makes sense to link to your site map, go for it.
However, for many sites it's wiser to try to focus their PR on select internal pages, rather than spread it evenly to all pages. For example, if you have a sales process that moves people through several pages, it would make sense to structure your links to focus PR on the first page in the series. Also, "housekeeping" pages such as privacy policies, contact pages, media kits etc. don't need the same PR as content/sales pages.
I would recommend not cultivating links to your links page, as some of the PR gained would flow right out to the other sites on that page rather than circulating within your own site first. If someone wants to link to your links page, accept it graciously, of course, but if you're actually asking for links that's likely not the most effective place to spend your efforts.
Site is a services guide with states and locations so there are 3 levels
Index > the general guide
Cities > linked from main index
Services itself > linked from cities
So the map contain links to the third level.. all of them, instead linking to index or cities (2nd level)...
I think linking to site map would be a direct way to bring users to 1 click step to the whole site...
But I'm not sure...