I think the best and most effective ways to build links is to follow a diverse strategy over a long period of time. You don't want to put all of your eggs (links) in one basket. I participate on forums, do social bookmarking for deep links, submit to directories, submit to RSS directories, do some blog commenting,
send out press releases, participate in online groups, etc. Do a little every week across a spectrum of methods and your site will increase in
PR and in the SERPs.