The ways you can get inbound links are various: you can start by doing links exchange, or by writing articles or post in forums or blogs. All these ways are valid, some more than others.
The best way to get a link is the one-way link to our web site, if it's coming from a web site similar to our about contents is better. Of course, get one-way links is difficult. How can we do this? There are no rules about it: just write original contents for your users, give them useful services (if for free is better ;) and wait. One-way links will arrive. 100% .
Exchange links is another possible way to increase our link popularity. Be careful about the importance of the site your are exchanging with: look at its outbound links, if got some penalization from Google and be careful that the link is textual and HTML: no javascript redirects thanks!
One-way links and links exchange are stronger if they come from a web site with similar contents to our own. So if I talk about dishes, I'll do everything to get inbound links from similar websites.
It's important to subscribe your web site into directories (such as Dmoz and Yahoo! ), to participate at forums and blogs. Do it carefully avoiding spam: it's not a good image for you be targeted as a spammer!
At the end, a little tips: prefer quality to quantity. A good inbound link, from an important web site with high PR is better than 10 from a medium-level web site.