One of the most straightforward ways to build links is by submitting your site to directories. We all know the big directories such as DMOZ, Yahoo, or Best of the Web, and you should submit to these sites. But you should also consider submitting to various small or niche free or paid directories.
Free directories are a no-brainer, except for those that require a link back in order for you to be listed. I recommend avoiding these directories altogether. Search engines will not penalize you based on who links to you, but if you link from your site to a known spammer or so-called bad neighborhood your placement in the SERPs (search engine result pages) could suffer. Most of these "link back" directories exist only to gain link weight for themselves and are not worth your time.
Paid directories can often be worthless as well. Many people launch paid directories purely as a way to make temporary money, they will promote the directory and try to inflate it's Alexa rating or PageRank to attract submissions and then move their promotional efforts to yet another new directory, thus executing a bait and switch maneuver. Many also have been banned or penalized by search engines for the practice of selling links without editorial review.
Prices on these small directories can range from a few dollars as a one-time fee, to as much as $50 annually. There are literally thousands of such directories out there, and picking valid ones to submit can take some time and work and knowledge. We've created a list of legitimate directories here, but it is far from comprehensive. So when evaluating a paid directory to see if it is worth your time consider the following factors: