The most common ways to build links are:

1. Writing a unique and interesting content so that people like your site and will give backlinks, and submit to Social Bookmark Sites like digg.com etc.
2.  Article submissions
3. Directory submissions
4. Forum signatures, placing your website url as signature at various forums.
5. Social bookmarking : Submit your site to social bookmarking site like Digg.com , del.icio.us etc.
6. Link exchanges:: Do link exchange with other sites. Prefer the sate of similar niche for link exchange.
7. Paid links :: You can buy link to build backlinks for your website.
8. Commenting on other blogs