Well the thing I look for first the PR (page rank). If the site has a PR of less than 3 it is not worth getting a link from - Google can penalise you for having low quality links. However, the most important thing is relevance. Have a look for blogs, news stories and directories where it would be relevant for you to leave a link. You need to think like a reader, and your link has to be of value to the reader. Ask yourself would the reader really get more information on the topic if they clicked on your link.
When I start with a new site I begin by submitting it to directories, SEOmoz have a list of web directories with high PR. Some of them you have to pay for but they are useful. For example, you need to pay for inclusion for Yahoo Directory but it has a PR of 7 so the quality of that link should have a good effect on you. My rankings in Yahoo shot up when I listed in Yahoo Directory.
It is also useful to build social media page with a link to your website as these sites have high PR already.
Other advice would be to set-up Google Alerts for your target keywords and see what news stories are coming in and if you can add a reply. Try and anchor text where possible.
OSE is good for checking your competitors links. However, it will show all their links - good and bad! So you need to be careful not to link on a site that is of low quality. If a competitor that 1000s of backlinks and a low PR, then that says something about the quality of their links.
It also important to note that you shouldn't rush backlinking. If Google sees a rapid increase in your backlinks they could penalise you for spam. As a rule of thumb create a new backlink per unique visitor to your site per month. For example, if your site gets on average 30 unique visitors per month, then create 1 backlink per day.
So basically look at what's being said about your industry online, see if you can add relevant content. Check for the PR, if it's above 3 then ok, below stay away. Add your site to directories. Create social media pages.