While we're on the subject; you can also buy links.

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It's important to buy a range of links from sites that are on the same subject as yours.

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Its also important to consider your anchor text - that is the text that is actually linked. These linked (anchor) words will be prominent in the optimisation of those words.

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Also remember that search engines like to see varied links, that is to say that if all your links link to your home page with the same anchor text, then the search engines get suspicious that your trying to "manipulate" their ranking.

Check out "Text-Link-Ads" for a good (if a little pricey) starting point and also look for alternatives such as "ReviewMe" - again not exactly cheap, but links aren't these days. Review Me sells reviews of your site, that is; you pay, and someome will write a review of your site (good or bad - so be warned) and post in on their blog. Hopefully this will drum up users for your site as well as a couple of valuable links.

Good luck!