Some forums allow you to post your link in the signature. The signature is put at the end of each post you make. You should find forums that are related to your market, but don't spam them or post just to get a link. Often times you will get kicked out for that because it makes the forum look spamming.

Getting your site listed in directories will not only get you more links, but also more traffic. Remember not all directories are free and some require reciprocal links. Your web site's topic likely has it's own specialize directories. Submit to Yahoo! and Dmoz.org to get started. Yahoo! in some categories isn't free and you will have to pay $299 to get reviewed.