You build links to pages you want to rank in the SERPs, it doesn't matter what the URL is (Index page, etc...).

It's also wise to build at least a few higher PR backlinks to internal supporting pages.

I'm having google dance at the moment, so that's why I was asking this. I hope that, if I build backlinks to my internal supporting pages, then maybe I will come back.

Absolutely!

How natural is it for a site to ONLY receive links to the homepage? Not at all!

Not to mention how much money you are losing by not linking the internal pages, and thus don't have rankings.

My recommendation is to build 30% of the links to the homepage, and 70% to internal pages. After a few months, deeply analyze your analytics and see what pages are ranking well AND bringing you traffic. Further optimize those pages to get top spots in the search engines.

Of course you should. Optimize internal pages for different keywords than your home page and build backlinks to them. This have 2 main advantages:

1. Your site will receive more traffic
2. The links to your site will look more natural (what will please Google)

yes, i also think you need to do it. internal link not only can increase your target traffic, but also can increase the relativity of your site and keywords.

Internal linking is very important, In fact Matt Cutts recommend do follow internal linking structure.
Though there are different way to link your web pages easily, one most common way is anchor text. You can link you relevant pages with keywords on your web page.
As far as depth is concerned, every web pages must be linked to at least one other web page of your website.
Internal linking is important so that crawlers can easily discover all your pages while visiting your website.

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