May I start with a few links?
http://guides.seomoz.org/chapter-7-growing-popularity-and-links
http://www.seomoz.org/article/advanced-link-building
http://www.seobook.com/archives/001792.shtml
http://searchengineland.com/smart-links-can-make-your-seo-sing-48544
Now for my rant : )
What is your site about? Is it local in nature? With these questions answered, you have a good place to start. If your site is GEO limited, say in a State or City, then look into forums, blogs, and sites dealing in those locations. Getting links from local sites really helps Google see that your site is local to that area.
If your site is about photography (my personal love) then find relevant sites and get links from them. Perhaps you can reply to blog post with a link to your site in your signature area. (warning: if your post are just 'visit me', then you may be banned from the site. Have something important to add).
I really like reaching out into the local community as these people should be more receptive to you because they may know you or at least have some connection to you being neighbors.
You can also start getting links from directories as these are easy and cheap, but not often great authority.
http://www.seomoz.org/blog/whiteboard-friday-sitewide-reciprocal-and-directory-links
http://www.seomoz.org/directories
If I can get the time, I am going to compile and post my directory link research.
General rules:
Look for sites that are relevant, have high PA, and allow for custom anchor text.
Blogging and Guest Blogging are great also. People love to link to great content so blog away. Give a different slat to your content or include information others do not have. If your site is not popular yet, guest blog for others which will allow for links back to your site. Of course you want to market these blog post by putting them on Facebook and Twitter.
I hope this answered your question.