On my site -- this site -- I link to someone else's site. Once, I clicked on that link to visit his site. That click showed up in his site's stats with a link back to my site. I know, because he clicked on that link to my site, and that click showed up in my site's stats, with a link back to his site's stats.

I can't, of course, look at his site's stats, so the story ends here.