Link Building - Basics
The best kind of link is from a high ranking page with similar content to yours. Not only will that link improve your search results placement but it will send quality visitors from the link to your site. Quality older sites tend to have little problem gaining links as many people know about them.
All the top three search engines (Google, MSN and Yahoo) now use links as part of the way they determine a page's rank. A new site is stuck in a chicken and egg problem. How can somebody link to you if they don't know about you? Moreover, how can they know about you if your page is on page 40 of the search results?
Link Building - Building Page Rank
The answer is to build a few good connections and then (with a little luck and your cunning and witty quality content) the links will flow in. It can take a depressingly long time until more links come then you need to beg for. Here's a few places you can look to for getting those first links.
Emailing Prospective Sites
Sending emails to sites you want a link from can be frustrating. Make sure you state a reason why they should link to you and place a link on your site to them before you ask. Keep records of who you link to and check up on them once and a while to ensure they are being honest about keeping your link in place. Popular web sites will want free advertising or even money as their link is worth much more.
Look for websites that are less popular than yours to build up your own web site. In turn, ignore link exchanges from non-relevant websites and firmly reject those offering to put your link on some page of 100s of other links on some hidden page. The 'link:www.domain.com' command is your friend.
ODP - Open Directory Project
The Open Directory Project (ODP) is the largest human edited online directory without paid placement. Its content is freely distributed and is on many websites. Even Google's own web directory uses it. Spend the time to find the most relevant section and write a hype-free description and then hit submit. If you want to be listed in more than one category then wait until your first is accepted. ODP - Open Directory Project
Link Exchange Websites
Sign up, log in and request links. What could be more easier? They tend to be highly commercial and require some sort of subscription to access all the features and not all categories will many people to exchange with. Search Google for "link exchange" to find the popular ones.
This style of link exchange is about sharing your website. You get some ads for your website shown in return for some space on your website. It's a decent way to increase your traffic. Your page rank probably wont benefit that much as the links aren't permanent. See Co-op Ad Network.
Other Directories and Yahoo
There are a huge number of web directories available to submit your website to and gain a link. Some of them are decent and others are constructed to gain revenue off ad impressions. A Yahoo directory listing is still worth something but they rarely add non-paid additions anymore. Manually submitting to directories is a tiring and relatively unrewarding work. See Yahoo.