1

Write articles.  If you can write articles about the content on your website, there are a ton of places you can post them for free.  There's a list of sites listed further below.

By submitting articles and utilizing the source box of the author to include your live alt text keyword live link, your article has the opportunity to be picked up via RSS feeds and be republished all over the Internet.  Thereby creating a link to your site.  You can gain hundreds of links from just a simple article submission.  Try to make a goal of at least one article submission a month.

2

Participate in forums.  Many forums allow you to post a "signature", where you can include links back to your site.  Search on Google to find forums.

3

Guestbooks.  This is by far my least favorite tactic, but many guestbooks allow you to leave a link.

4

Link Exchange.  If you link exchange, attempt to link exchange with websites that are in your same general theme.  Avoid places that have 100% of links or considered Link Farms.  Never link to any website that is illegal or pornographic.

5

Submit to free SEO Friendly Directories.  Click here for a list.  directories you gain a true link back.  This link will gain value over a period of time.  Only submit to directories that provide a true html link to your site.  You may want to avoid locations that require a link exchange.