1) Ask for them. Find web sites that have some kind of mutual connection to your's and then send the webmaster a request asking for reciprocal linking.
2) Blog comments. Leave comments on blogs, especially those which have a similar target audience. Make sure your comment is relevant to their content and NOT just spam.
3) Forum signatures. Participate in forums and have a link to your web site embedded in your signature. Find forums that are in line with your market and make sure that you are contributing to the discussion, not simply posting for the sake of getting a link.
4) Article submissions. Put together several articles on a topic that is related to your web site, then submit them to several of the on-line article syndicates. Most often you can put a link to your site within the "Author Bio" sections.
5) Join social networking sites. Create a profile on social networking sites, such as MySpace, Zoodango, LinkedIn, etc. and put a link to your web site. Also, join "groups" in these networks that target your market.
6) Free on-line directory submissions. Make sure your business is listed with free on-line business directories, such as Yahoo Local, etc. and you will be able to supply a link to your web site.
7) Craigslist. Depending on what type of business you have, posting a free ad on Craigslist containing your URL could be very beneficial. Craigslist gets tons of traffic and ranks high on search engine results.
8) Yahoo Answers and Google Groups. Share your expertise with users of Yahoo Answers and Google Groups and insert a link to your site. Make sure to target questions that are in your business' particular industry.
9) Wikipedia. Create a page in Wikipedia for your business and include a link. Wikipedia pages always seem to return very good search engine results.
10) Good content. Have content on your web site that would be of interest to others, and hopefully your readers will feel compelled enough to want to share the info with their own site's audience.