You can always still do link exchanges, just place their link first and use the ref="nofollow" tag, if they don't check for it or mention it and link back then you have a one-way backlink
Best way to build one way links is by having something good enough or unique enough on your site for people to want to link to without prompting. Or offer such good service that your clients will be encouraged to link back to you because they are happy with your service. The best links are genuine links.
there are so many ways, some work well for some people and others not. if you are doing it free, then submit to free directories. you can search for free directory(ies) and you will get a lot of results. submit there search for sites in your niche and see you can add url there. you can search with your keyword along with add url/link and will find some results. submit to as many as you can. search for blogs and blog article in your niche and add related comment. make sure you add value and do not spam. no one likes a spammer search for free press release and submit your artile with anchor text link that will get you going for a while. happy link building. and btw - there is a DP section dedicated to link building where you will find lot more threads related to link building. just go there and read.
submit your site to free directories, classifieds posting, and if you have blog, you can also do blog submissions..
One way linking? directory submissions, forum postings, social bookmarking, blogging, promotional ads...