The way of building links can be concluded as friend links, blog, forum, articles, coupon, directories, sitemap, free ads, bookmarks and so on. which way is useful? and the rumor out there goes that the links from blog and forum will not work any more. Is that true?
Let me share my experience! If you take any company which is in SEO business is hiring lots of link exchange and paying good amount in form of salary and commission as well, you should consider it. We are running small business but we don't understand why to pay for exchanging links etc. The main thing is that links from relevant, high pr and old domain are very useful to get good SERP in Google. Thats why they do 3-way link exchange for good result. However, what Google like is natural link building which should include all even nofollow also. So if you do article submission then it would give you natural links as well, because your articles are automatically distributed all over the web if it has quality, if it doesn't have quality then it won't be distributed. So try publishing quality articles for good result. If you can afford 3-way link building then I would strongly suggest you to go for it as it gives you quality back links, one relevant links = almost 20 irrelevant links, so consider this point!
For me social book marking and forum signature link are more valuable and worth having. So do it for your sites.
All ways are effective for link building. What matter is that how you do it. Don't believe on any rumors links from blog commenting & forum will always be valuable. Just take care that you do not spam.
the best link building way has always directories, blogs, and articles. Thats the way I have always built my sites to rank well and got a lot of traffic
But I think, no other choice can surpass the links made on same themed website link page. It works wonderfully.