SEOmoz.org had a great post here about the importance of link diversity.
When link building for a new website, concentrate your efforts on having other sites linking to the main page of your site, i.e. "example.com/" Once you've built solid back links, you'll see your keywords make a steady rise in Google's rankings.
Yes, link diversity (having links to pages besides your main page) is important in Google's algorithm, but it's a very time consuming project to find deep pages on your site and match those with websites who will link to them.
Once your keywords rise in the organic rankings in Google, you'll be pleasantly surprised that other websites will link to your deeper pages without you having to ask. Don't sweat about link diversity in the beginning of your strategy.
But, if you do stumble across a site that would be a good candidate for linking to one of your deeper pages don't hesitate to ask.