SEO - Linking

OK, let's take a more in-depth look at linking...
Firstly, you should set up a links page on your website, doesn't really matter what it looks like, but leave room for plenty of links...
This is what mine looks like: http://www.cassette2cd.co.uk/links.htm
Your search engine rankings are boosted by links back to your site from 'good', 'relevant' web pages. By 'good', I mean pages with a ranking of thier own, 'relevant' meaning more repetitions of your keywords and phrases, reflecting the content of your own site. Obviously the actual criteria used by google is secret, so we can only speculate as to how to maximise rankings.
First off you can get links from directories, depending on how you operate, you can link into general world-wide directories or directories that are concerned with your geographical region or the area of business you are in. One tip would be to look at your competitors to see if they are listed on directories - try searching for your competitors on google to see who is linking to them. Try this format in google search:
link:www.yourdomain (or your competitors) - this will show links on the internet to any domain, you can also use a google search with double quote marks around your domain ie: ''www.domain.com'' to find pages which mention your domain (this may produce quite different results as a straight 'link' search)
There are loads of different free directories out there, only use ones which have ranking points of their own. If you want to know the ranking of a site, get the google tool bar added to your explorer window and set the option to view page rank.
Reciprocal links are the type that boost your ranking, so if you get a directory to link to you, place a link back to them on your links page.
Directories are all well and good, but they are usually too general if your site has a specific focus. You will need to link to sites which are relevant, without being competitors and importantly, get them to link back to you. This is a lot harder than it sounds...I have found very few sites which will even reply to a request for a link never mind actually create one! This task alone will take a lot of energy. You may find this task a lot easier depending on the type of site you are setting up.
If you are selling goods in a region for a supplier ie. as a local agent, you should definitely get your supplier to list you as the local agent, unfortunately I can't use this type of linking as I offer a service rather than goods. My methods have been to search for my key themes in search engines and look to see which sites may benefit from a link from my site, and look for overseas sites offering a similar service who might want to trade links (this assumes there is a geographical element to your site - ie. I am only realistically offering a service to the UK, however US sites may attract visitors from the UK, and my site attracts visitors from the US who are probably never going to become clients).
I have another way of getting links and this can be hard work, but mostly enjoyable...again searching for key themes and words and looking for where these themes appear in forums and blogs - visit the pages and post replies including a link to your site. I have found that different forums have different dynamics and appeal to different groups. I have found that Yahoo answers is a good 'fishing ground' for this type of interaction, you may find Google answers more relevant or even Mylot (see link at top of right-hand column of this page).
These forums won't generally add to your rankings, but will hopefully add to the number of page impressions that you get.
Update: 15/01/2007 - I found out today that 'google answers' is no longer accepting new questions, however I guess you may still be able to post comments, but the site is just a static forum now.