I always say that it’s more important that you don’t link out to spammy sites than they link to your site. This is because Google’s algorithms don’t care about a couple of spammy backlinks unless they’re sure that you’re using them for manipulative purposes.
Now, I often see careless people linking out to bad sites either unknowingly, or because they’re selling links from their website. This is of much higher importance, because you have direct control over your site’s outbound links, i.e. who you link to.