No, that’s not true. All links are not equal. SEOmoz put out a great post breaking down 17 Ways Search Engines Judge The Value of A Link. It’s a great post for anyone interested in SEO and links at any level.
My conversations with clients on SEO is always split in 2 sections. The first is on-page optimization and how you produce, structure and enhance valuable web content for your users (and search engines). The 2nd is off-page SEO and the value of inbound links. This post is a great way to break down all of the elements inside linking that I talk about.