^^^^^^^ ||||||||||| I'll assume you mean other than the BST market here at DP ;-) Hmmn, that's a tough one. I think the best place is where they have a clear, open channel of communication. Maybe someplace where the owner hangs out here alot. I bet if you found a place that the owner hangs out here he'd have about 1700+ posts, 150+ positive itader, and at least 4 bars of green rep. Wonder where we can find someone like that?
The best link building resource I can recommend is without a shadow of a doubt www.iblbuilder.com - it is a one way link exchange, yes that means everyone builds one way links, not devalued reciprocal links.
IF you're going to pay for illegal links then contact sites directly, and try to make it ones that are very discreet about it. Link markets are retarded if you're running a business...way not worth the risk.
The only risk in buying links is in getting ripped off. Make sure you do your research before buying links on any site. That said, the worst thing that could possibly happen is to find out that the links you buy are worthless. Make sure any links you buy are on quality sites with unique, relevent content, with strong PR and good traffic.