Take some time to read Googles policies & guidelines (as well as other good SEO tips & tricks) and you will realize that Google is literally screaming at you to get natural links. In other words: Google rewards link building which looks natural and penalizes un-natural SEO.
Believe me, the task of making incoming links look natural is not that difficult, if you put some time into it. But because of the time constraints etc a lot of users do not capitalize on SEO the way they should.
Evidence of our lack of good SEO is: Most of us NEVER get any deep links!
Lets face it, you have a new website and you promote the hell out of it. You do social bookmarking, submit the website to directories, send out press releases. But if you point all the incoming links towards your home page, there is a problem.
The problem is: It does NOT look natural.
Now, I have never seen evidence that you will get penalized if Google catches you doing this, but common sense dictates that if you take the time to put in deep links, you will gain rankings more quickly.
So just to put things into perspective, some benefits of deep links are:
1. They make your SEO natural which makes the search engines happy.
2. When you use deep links, your traffic is more targeted to your inner pages!
3. The links (and anchors) you use for inner pages specifically intruct the search engines what to find there which increases your relevancy & trust.
4. Doing so put you ahead of the competition, because 90% of the webmasters do not employ this technique!