Well, Google has banned paid links and other spammy linking strategies.[like guestbook links]. so Buying links and directory submission is no longer useful for new sites to grab top position in Google.Then what are the link building strategies left? I can think about these approaches- [1] article directory submission [2] forum signature [3] three way link exchanges [4] authority site back links [5] PR submissions [6] squidoo, hubpages, blogger blog , wordpress blog , live journal , yahoo 360 , xanga , myspace.. [7] Top PR classified ad sites like usfreeads,webclassifieds etc [8] eBay about me page. and what left??
Social bookmark links are largely nofollow; while they can be very beneficial to a page with the right content, but they don't help with your Google ranking. It's important to give a new site a push to get it noticed, but like Directory_SEO said, the best types of links are the ones that come naturally. The "blogsphere" loves finding interesting pages to link to. Figure out who your target market and your peers are, and cater to them. Sometimes that's called linkbait.
You can try Link Exchange, make it sure that it was relevant to your site. Social Bookmarking, Articles, and Blogs.