For the average website, the creation of links involves a process of contacting related sites, and usually
simply asking for a reciprocal link. However, reciprocal linking is now thought to be much less effective than it was.
One-way links are much better, and can be openly bought and sold from various sources on the net. The links at the bottom and top of this page are a good place to start.
The standard process of gaining links is arduous. A better way is to allow users to create their own content, by means of a forum, blog or even a classified ad section. The ultimate idea is to have an affiliate program which means the affiliates have to link to your site to process their sales.
I have also noticed recently that if a huge number of links are suddenly directed to a site which has previously had hardly any, then this can have quite a negative effect as the algorithm has worked out that some 'black hat' techniques have been used. So be careful.