I don't see a point of doing it if it doesn't bring me any value. For example, if I run a blog I might make some agreements - o exchange links with other blog and etc. Then yes, why not? It's a dublex benefit. Also, it might bring financial value as well - for example, participating in affiliate programs. However, if I see spammy links coming to my website, I always put them into trash or mark as a spam. You should do this as well. There's no point of keeping them as it only might distarct your visitors from your site.