The core of the Internet is pages with links pointing to and from them. That's why it is not only important to have something to get links to, but to link from a page. When it comes to the pages on your own site, you can develop a linking structure to increase conversions and get a slight boost with the search engines.
What is an internal linking structure?
Internal linking structure is a pattern you use to link one of your pages to another. You can only have links in the top navigation or you can also have links in a left or right navigation. Additionally, you can have links in the body text (context, embedded links).
How to setup internal linking?
Generally, you'd rather be linking to pages the current page visitor should want to go. As there are various kinds of visitors and there are different things you may want on a website, there should be sufficient ways of finding what the visitor wants with one or two clicks (at most).
When it comes to links from the context (embedded links), you'd rather link naturally. Linking naturally means you link to a page when you refer to it in the text or the visitor should want to go somewhere after you write something.
How to link?
Generally, it is a good idea to use two or three key words as the anchor text (the text you use to link to another page). This not only makes it clear what the following page is about (apart from being understandable from the context), but also adds some weight with the search engines (just for the former reason, by the way).
Though internal linking isn't just for the search engines (though it helps sometimes), you can and should use internal linking to create clear click paths to increase conversions.