In a recent blog post discussing the importance of link building for search engine optimization, I asked people to share how they build links to their website. I recommend you go read the responses. I also recommend you read that article so you know how to construct inbound links so your business can rank higher in search engines for your target keywords.
link building Link building is not easy. And it's not that intuitive until you do it. There are also many different techniques and methods that will have varied results. Below is how I recommend clients start and master link building.
I tell people that there are 4 Levels of Link Building Excellence. And it usually takes 4 years to master it - just like high school:

9th Grade: Links You Can Build Yourself That Require Little Time Investment

Before I get into this, I'd like to stress that you should have a really good keyword strategy and make sure you've optimized each page on your site around a different keyword phrase. Any link you're building should be designed to help a specific page rank high in the search engines for a specific keyword.
That said, the first set of links that every business should get are the ones that don't require anyone else's help. There are lots of business directories out there where you can just submit your URL, company name, and a description of your business. Some of them require approval. Some of them require a fee. Yahoo's directory, Joe Ant, Aboutus.org are some of the ones you should do right away.
In this class of Level I links, there are also many social media sites where you can simply build links to your site. Most of these no longer pass SEO credit, but they're still good links to get, assuming your target audience visits the site or these sites rank high for your keywords already.
It's arguable that you should hire someone to do (or start) this stuff for you. It's low level work that generates low level returns. Just make sure that you don't hire a firm that will get you 1,000 links for < $1,000 dollars. If it's too good to be true, it is.

10th Grade: Links You Build Yourself that Require Effort

Before I get into this level, I'd like to stress that launching a business blog should be done before doing this. Without having a blog on your site with lots of good, well-optimized content, you don't really have anything to link to.

That said, there are two very common link building techniques that work well that don't require you to be a "thought leader". Yet. These activities require a bit more time investment and a small financial investment. They are article marketing and press release optimization. With both of these methods, you have to create relevant content that will appeal to your market. So, it requires more time than Level I. Also, the process of getting your articles syndicated and your press releases submitted and picked up - takes effort. You might consider hiring a wired pr firm or a strong SEO firm to do some of this stuff for you.
If done correctly, both of these methods can significantly increase the links to your site. Also, if you write your articles and press releases with a keyword strategy in mind, and with links that support your keyword strategy, it can significantly increase your rankings for specific keyword terms. Run your press releases and your articles through press release grader to determine whether they're going to help.

11th Grade: Links You Network For that Require a Significant Time Investment

This part of link building is kind of like sales. Cold calling can be done effectively with persistence. But, networking, getting referrals, giving first, the law of attraction, etc is a better way of getting new clients.
Link building is the same way.  If you're more of a cold caller type, and there are lots of potential places you can get a link, you might consider just creating a list of webmasters and asking them for a link.
If you're a natural networker and you're in this for the long haul, I'd recommend being a bit more patient. Apply your persistence and spend your time building relationships.
No matter what route you take, the goal of this level is to make yourself visible among people interested in the same topics as you. This process is a bit self promotional. But, you must promote yourself in a way that you're adding value. You master this level by acting like a resource for people in your industry. How do you do this? It's all about networking and building meaningful relationships. The first step is reading other people's blogs. Then, commenting on them. Then, eventually starting a relationship where you're communicating 1-on-1 with them. I recommend you take the leap from reader to 1:1 with a blogger, by pointing them in the direction of other people's content that might be interesting to them.  In the non-marketing world, this usually happens through email. In the marketing world, this usually happens through Twitter. If you're techy, this might happen through Delicious. If you use StumbleUpon or Digg, those are great platforms to share things with peers. Even google reader lets you do this kind of networking. But, it can certainly happen through any social networking platform or system that enables 1:1 communication.
From a link building perspective, the ultimate goal of this level is to get invited to write a guest article for other people's blogs or website. For example, I wrote an article about inbound lead generation for Aaron Ross not too long ago. In the article, I linked to relevant resources on my blog and the HubSpot blog and site. These are great links from an authoritative  source. Aaron reaches our target market sending relevant traffic. These links also help us rank for our target keywords.
During this process, you're also building up a group of people that will most likely begin following you...

Seniors Rule! (12th Grade): Links Other People Give You Because You Create Remarkable Content. 

This level is like the last month or two in high school when you've already passed midterms and you've been accepted to the college of your choice. You've done the hard work already. Now, it's time to go to parties and enjoy being the carefree big man on campus.
You don't necessarily halt the activities above. But, you spend more of your time just creating remarkable content.  (And some link bait.)
At HubSpot, we do some guest articles once in a while and we optimize our press releases. But, mostly we just put time into churning out content on our blog and producing other online marketing resources like webinars and white papers. Some of you seem to think this stuff is pretty remarkable. As a result, it generally creates great conversations in our comments, strong attendance at our webinars and lots of white paper downloads. And regularly, people link to our webinar announcements and blog articles of their own accord.
This doesn't start happening overnight, unless you're already famous. We have a lot of advantages at HubSpot. Website Grader's success, funding in the bank, successful clients, smart founders who started blogging before they had a product and now... a lot of employees who contributor to the blog, a strong social media following, etc.
But, we did it in < 2 years. If you're a small business and you follow the path above, there's no reason why you can't stake your claim on the web. Link building is an important part of that. Hopefully, this post demystifies the process a bit and gives you a roadmap to get started.
The biggest mistake that newbie internet marketers make is thinking that creating great content on their blog will be all it takes to be successful internet marketers. My biggest frustration is when newbie bloggers pack up shop after just a month of writing because the blog doesn't have an immediate impact on their search traffic and lead volume.
At the end of the day, if you publish great content on the web AND connect, relate and build relationships with other humans, really good links will come naturally. Until then, put in some homework and earn your way through link building high school.