Most of my clients have no idea how to begin building traffic to their web sites. One of the first things I usually discuss with them is how links from other sites help them. Of course, I often see their eyes glaze over, and always they ask where to go to get links. A good example of a general link is a directory like www.lotsalinks.net. Directories like these are free or nominal charge. This type of directory gives your site a link. Search engines pick these links up and this helps to boost your site in the natural search.
The general link directory is good, but a link from a blog or directory that has related content is incredibly valuable. For instance for a Realtor to have a link directing traffic to their site from a blog about real estate investing would be a premium link for the Realtor. Sometimes you have to pay for these links, and sometimes you can contact the site owner and ask nicely.
The more inbound links you can get coming into your site, the better off you are. There is some discourse as to weather the page rank of the site that is providing the link comes into play. I think that this is another discussion.
As always, please provide comments if you find this interesting. I am always open to questions, comments, or critique!