Do not join any link farms!!! Link farms, such as LinksToYou.com , sound excellent for building up linkpop and PageRank, but search engines (Google in particular) disapprove of them as blatant attempts to manipulate the rankings and they will penalize sites that use them. Once a site has been penalized, it is very difficult to get the penalty lifted, so avoid all link farms.

Email requests
(a) Search on Google for your main searchterms and find the websites that are competing with you. Then find which sites link to them by searching " link:www.cometitor-domain.com ". Email them and ask for a link exchange.
(b) Search on Google for websites that are related to your site's topic, but not direct competitors, and ask them for a link exchange.

Buy them
There are websites that want to sell links. They are usually medium to high PageRank sites, and often the link will be placed on multiple pages, or all pages within the site. It's possible to approach individual sites where you would like your links to appear, but it is much quicker, easier and more reliable to use a middle-man service (or broker).

Link brokers offer links for sale on behalf of other websites ( you could use the service to sell links on your site! ). With these services, it is usual to be able to choose the type (topic) of the website(s) where you want to place your links. I am not aware of any disreputable practises with link brokering. However, I can recommend the Text Link Brokerage service (banners on this page) as being highly reputable.

Finally, there are even links for sale by public auction, such as the one at LinkAdage Auctions .