Gaining links from other websites which are relevant to you, is a fundamental neccessity when trying to improve the search engine position of your website. The process of building incoming links is an ongoing procedure which takes hard work, diligence and knowledge of your field. It is just not worthwhile blasting every possible site with link requests. The sites you want to exchange links with must have a relevancy to what you do. It is not an automatic process using link exchange programs, it needs manual work to investigate which web pages would be relevant to yours. In fact, links from non relevant sites can do you more harm than good.
There are some great places to get good links, such as directories, social bookmarking sites and article directories. For those businesses that really want to build a good solid search engine position you have to go out there and look for them. In some cases you will need to pay for a link, you have to accept that. But time set aside every week or month, to investigate good content sites that you can ask for a link from is time well spent. When asking, ensure you communicate with a person, maybe by telephone or maybe by an email to an individual. Give them a reason to link to you. If your site is not up to par and there is nothing they see relevant on your site then why should they link to you.
Links can be gained by submitting articles and press releases. But these have to be of a good quality and of interest to the reader. Keep your website interesting and 'bait' people to link to your page, by either having unique quality content or something interesting that will keep them coming back. Blogging is a good form of link building, but again you need time to blog and your blogs must be of interest. Don't blog for bloggings sake, blog because you have something of interest to tell.
Don't forget the links which the search engines cannot see. Links in emails are also important, so use mailing lists to keep clients informed, again remembering to make the content interesting and relevant.
In summary:
Link building never stops.
Make sure that the site is relevant
Make sure that your site is worth linking to
It is a manual process, don't use link exchange programs
Ask someone by name to swap links.
Don't give up