Here is a list of some popular ways to build up your backlinks. Some ways to build links might be missing, but I’ll do my best to list most of them.
Submit your website to website directories. There are thousands of directories you should submit your website to. Some of them all well-known, and some them are niche specific, so you should look for them as well, even though they aren’t as popular. This way of link building has lost its value significantly during past couple of years.
Exchange links with other websites in your niche. Basically, while you are promoting your website or your blog, you should find many people that have same interests as you. Contact them and ask them for a link exchange. There are also forums in which you can arrange link exchange. Usually, you will need higher page rank for that.
Article marketing is yet another form of promoting your website. You write article, set up author box that contains backlink to your website and post it on article directory. That way you will have one link guaranteed, and on top of that someone might pick up your article and post it on his own website including your backlink… That will give you one more link pointing to your website.
You can also use blogs and forums for your self promotion. Basically, you make a comment and put a backlink in it. Same works for forums, but then you can put backlink in your signature. Just make sure you follow that forum’s guidelines. Oh, and try to actually contribute in discussion rather than just make comment or post just because of backlink.
Social bookmark is becoming more and more popular these days. So try to write eye catching title on interesting subject and submit your website to dozens of social bookmarking websites. I highly recommend automatization of that process since there are literally hundreds of bookmarking websites.