Over two years ago, Google took action against Sape links, one of the first major 'underground' link networks that was hit big time by Google.
But even after it was hit, many who used the network said it was still working fine for them.
Most Black Hat SEOs will still use them but they are more careful about which of the links they buy within that network.
A Black Hat World thread has discussion on the topic. There is a debate, some say it is safe and works well, some say it is incredibly risky and doesn't work at all. But the consensus seems to be that you need to go through a broker that hand picks the safer links for you and spend the extra money within the network to cherry pick the best links.
I have no experience with this so here is my anonymous poll:
Forum discussion at Black Hat World.
