Link building is the single most important activity you should be undertaking to promote your web site. Sure, you can sort out the “on page” search engine optimisation, and you should be ensuring your site has a good structure, and you should be looking at external advertising. But link building should be your first priority.
The trouble is, link building is difficult. What’s more, there’s no obvious technique to learn. The most thought-provoking posts on the subject are like this one from the SEO Theory and Analysis blog: Why your link-building techniques suck seems to suggest that every method of link-building can be rubbish, but it still may be your best approach. Which all goes to show how complicated link building can be. The best approach is to do what you think will work best for you.
Anyway, have a read.