Great search engine ranking factors article recently published SEOmoz.
Point #2 in the Top 5 Negative Ranking Factors is "Link Acquisition from Known Link Brokers/Sellers." I still find this item hard to believe although I've heard this type of statement before.
I remember attending an SEO talk where an "expert" said that links from "bad" sites to your site could harm your SEO. I asked the presenter if she was able to provide any evidence of this and she said that she could not. To date, I have not seen any evidence of this, and as I said I find it hard to believe and this is why:
A competitor could publish links to your site from "bad" sites and/or buy links to your site on a link broker's site to degrade your SEO performance and allow him/her to rise above you in search results. Are you telling me that the engineers that work on the search engine algorithms have not thought of that? These are clever guys, believe me, they've thought of this.
In my opinion, link building from "bad" sites or buying from link brokers will not have a negative impact on your SEO, it will only have a negative impact on your time and a neutral impact on your SEO. i.e. you're wasting your time by doing it as it will have no impact.