I used to find some free directories that you can submit your site and then lots of other directory members can send you link exchange requests. An example site is linkmarket.net. But a few months ago one of friends told that it was very dangerous to do link exchange like this because sites like linkmarket.net are link farms. But I think it's just like submit your sites to directories like Yahoo or DMOZ. And linkmarket.net also has a high google pr of 6. Anybody can tell me is it OK to use sites like these? Thanks.
Web Directories and Link Farm are very different in many ways And the way to go is forget about link farms Go with Web Directories
There are no shortcuts - I think avoiding link directories AND link farms is the way to go. Though it might take a few months, an organic page rank will stand you in good stead for longer. You can try networking with the owner of other websites, leave comments on blogs (even if you only have a website), or start a blog on your website... there are so many other things you can do - avoid link farms and directories... they might have a huge backlash later - just think of it, what value do they provide to the internet user? Near to none, and so, one day, they all will be devalued, their outgoing links too..
A directory is just a polished form of link farms and they even charge you for it; best to be avoided. look up a few good paid ones for your niche and use them. thats it.
With directory you get editorial links listed in categories. Link farms offer big list of links listed on one page, they do not have categories and are not editorial given.