There are several different ways to build links for traffic and for search engine rankings. Matt Cutts describes the best links as links which are given freely by authoritative sources that are trusted by visitors and Google themselves. (to paraphrase)

So the following tactics will get you those kinds of links:

1. Linkbaiting ' writing controversial, wise, witty, valuable, or otherwise good content that gets other people talking about you on their sites, linking back to your post.

2. Press Releases ' This may seem counter-intuitive since most people think press release syndication is only about "placing" links where you want them across a large network. But think of it this way: PRWeb.com has a trackback feature where bloggers can do a trackback to your release and get a valuable link back to their site in the process. They talk up your release and your release gets more traffic, link popularity, which sends you more traffic from the release including more link popularity by having a release that actually ranks.

Link Buying

Text Link Brokers and Text Link Ads (both .com) are the best places to buy advertising. I say advertising because you shouldn't be buying links just for pagerank. I get more traffic than you do and my pagerank sucks. Plus if Google finds out you are buying links solely to manipulate their rankings, they will zap you.

(I know this is stupid. How can Google know the difference between you buying a link on a site for traffic and buying it to manipulate their link popularity algorithm? It's a ridiculous argument to say they know why I bought a link. Google doesn't know your reasoning for buying advertising other than you want more exposure. Keep it that way by not talking about "buying links" and instead call it advertising. That's really what it is.)

Don't buy links for pagerank. Here's another reason:

You should be buying ads for traffic directly from the site you are buying from. Search engine rankings are a side effect of good advertising, not the reason for it.

Authoritative Directories

There are directories you must be listed in if you are serious about your online business. And they cost money. Sorry, but you can play the "free" game for years before you see any serious traffic from free link building alone.

You can gain a lot by submitting to Yahoo Directory, Best of the Web, What You Seek and other human edited paid directories. Google trusts the sites they find there and so do the visitors who use these directories to search.

You can circumvent any paid linking and advertising and still succeed. But I'm willing to bet you don't want to wait as long as it is going to take to get the results you are looking for by going to totally free link building route.