I try to add a link from as many of my clients sites as possible. Its good publicity for me and my clients normally don't mind.
I've got a number of clients that don't want it though as well as don't want me mentioning I'm doing work for them. Fine by me so long as they pay me on time.
There will be a number of people who say that it looks unprofessional to include a link back to your own site, to a certain extent I've got to agree. Unfortunately word of mouth / these links mean a number of people contact me looking for work and given the state of my own work sites
and lack of time I've devoted to
seo on them I'm willing to have it look slightly unprofessional so long as my clients are ok with it.