I was contacted by someone who is a vendor to Microsoft about connecting on LinkedIn. I'm sure this guy is a good guy, and would be happy to link up with him. However, I think it dilutes the power of the network to link to just anyone, so I suggested that we get together for lunch, have a chat, and then connect up.
Some people on LinkedIn (or other social networking sites such as Ryze or Spoke) worry exclusively about the size of their networks. Now I will admit, network size is really important to the effectiveness of the network for its members. However, one should also look at one's social network as a web of trust. When someone asks me about someone in my network, I can give a real endorsement of that person. I think this is a dramatically stronger statement about someone than "They asked to connect to me on LinkedIn so I did...", and ultimately leads to better results.
So, I suggest that you be selective about who you link to on these sites. Avoid the temptation to grow your network just for the sake of growing it, because you may end up with a large network that is of little value to anyone.