Reciprocal links in web directories


I have seen some web directories that offer free lists of directories on their site, but they ask for a "Reciprocal" link. I do not know exactly what this is, but until now I understood that this is an option to share links.

My question is, does this work? And if I give them a link on my site, what would my site be like?

Actually, I'm confused.

Thanks in advance.