The best thing that I have done so far is article building. Than again they do say now that it's not "good" to share your content across the web and that google will only use the first article. So sometimes I change the article around a little bit. The trick is to actually put GOOD content up! Don't put crap out there that no one wants to read. If you put good stuff out there people will link to you. I have over 10,000 links to my site and most of it is from people reposting my blogs! I also get a lot of traffic from this.
I'm not a big fan of the link farm (you post of mine and I'll post on yours) type deal. I think it's cheesy and it can actually get you in trouble.
About linkmarket, that's a site that does definitely look like it can get you in more trouble than help you. Put it this way, I've got 10,000 links (and a lot of them are high quality) and I didn't pay for one single link. Granted I agree that when you do the article building way there is potential to get some low end links, but it's better than nothing.
