Matt Cutts confirms that some links can harm your site here - http://searchengineland.com/google-talks-penguin-update-reco...

Here's an example of a site which recovered from a Penguin penalty by removing external links - http://www.seomoz.org/blog/how-wpmuorg-recovered-from-the-pe...?

And here's some more general data analysis - http://www.micrositemasters.com/blog/penguin-analysis-seo-is...