Link Building is vital for a good placement in any search engine 
and most website owners are unaware of this or don't really 
understand how it actually works.

Apart from good Keyword research and the right meta tags, linking 
building is an absolutely must for the success of any website and 
is an on going process, so make sure your put some time aside for 
this on a weekly basis or pay some one with experience to do it 
for you. Without it your website will certainly get no traffic.

There are 4 different types of Linking involved and each one is 
as important as the other.

If they are done correctly, they most certainly will give you a 
good ranking in the search engines.

They are : 
Reciprocal Links, 
Oneway Links, 
MultiSite Links
Directory Listings.

Reciprocal Linking

Quite simply - this is a link from your site to another and they 
link back to you. A bit of advise here is to only link to sites 
that are relevant to yours. i.e - If you are selling Cars - only 
link to Car websites, a link to a Health website will really do 
you no justice, and trust me I have seen hundreds of website 
owners make this mistake. What's important here is not number of 
the links you have, but the quality and relevancy of the site 
your are linking back to. Be Selective and also take a good look 
at the sites linking to the site you want to link. It's really no 
good if this Car Site you want to link to has 40 reciprocal Links 
from Online Pharmacies.

How to Do this :

1. Pay a SEO Company to do it for you. (can be quite expensive)
2. Buy Them
3. Link Exchange Sites.
4. Search for them on your own.

Important : Do not add to many reciprocal links to quickly, build 
it up gradually otherwise you will be penalised by the search 
engines, as it will be seen as un-natural. A good way to start is 
not more than 10 to 20 in one month. As your site gets older you 
can start adding more.

One Way Links

This is what the search engines call a natural link, and these 
links are given a far better ranking than a reciprocal link. The 
easiest way to do this is to write articles on what you are 
selling and then submit them to article directories with a link 
back to your website. Website owners are always looking for 
content for their sites, and Article Directories are the easiest 
way for them to get content, with out them having to write them 
on their own. There are hundreds of these directories around and 
the more you submit to the quicker you will build up your one way 
links. It also is less time consuming than reciprocal linking and 
you will get far better results.

MultiSite Links

For this to be effective you need at least 3 to 4 websites to be 
involved in this. It is also seen as a natural link by the search 
engines and can be quite difficult to do if you only have one 
website. Although it can be done. You will just need to find 3 
other websites that are interested.

How it works is this :

You link to site B, Site B links to site C, Site C links to site 
D and site D links back to you. This way all the sites get a link 
with out any of them creating a reciprocal link.

Directory Listings

This is also seen as a natural link as most directories don't 
require a link back. It's very simple and all you need to do is 
submit your site to as many directories as possible. There are 
thousand's of them on the Internet, so all it requires is a 
little bit of time and hard work. If you make it your goal to 
submit to one a day, the process won't become a tiresome.

Good Luck!