Be a user when building links. The point is to make your link exchanges look like they are acquired the natural way. Make sure that your links appear in places where search engine expect them to be. This should be pages relevant to your content. Link must be in the page copy or in a sidebar possibly among the other links pointing to pages also relevant to your topic. The anchor text must look naturally - so no keyword stuffing.
Analyze your own motives of linking to the sites you like. What motivates you to cite a web resource? Is it a collection of online tools or handy tutorials? Or may be it is a provoking title? Apply this ‘reverse engineering’ to your pages, and use unique interesting content to attract links.
Avoid things that can damage your reputation in the eyes of search engines. No link farms, suspicious looking websites or poor quality link exchanges. Forget the reciprocal links - they no longer have any significant weight. Do not participate in three-way or similar linking schemes - these attempts to disguise reciprocal linking are easily to detect. NASA managed to get a man on the Moon with computers less powerful than a GameBoy, so why do you think Google can’t discover link triangles with all the computing resources at its disposal?
Buying links. This practice is pretty much discouraged by Google, because it undermines the idea of the proxy for human judgment. So you have to be especially savvy when buying links. Avoid link trading sites or any site publicly announcing that is sells links. Don’t mix buying links with paid advertising. You pay for an advertisement on a high traffic page expecting visitors referred by your ad. Buying links has a different purpose - increasing your link popularity.
Do not be obsessed with backlinks. There is an intense focus on link building but not enough focus of content creation. Links must reflect the quality of content. If you think your site has not enough incoming links, you should think about how to improve the quality of content and make it more appealing, not about more link exchanges.
Link penalties. Many people are afraid to get penalized for linking or being linked by fishy websites. If there is a need to put a link to a site which you do not want to be related with, use rel ‘nofollow’. Google confirms that this attribute is critical in link analysis, so you should be fine. Links from dubious sources to your site are out of your control and all the major search engines assure that they don’t punish people for that. However too many links from such sites (like tens of thousands) can bring an unwanted attention of search engine quality teams. They can ban your site if they found you responsible for boosting your rankings, but you can always submit reinclusion.