It is common knowledge that in order to gain any kind of standing in the search engines, you will need other sites to create backlinks to you. This will help to bump your pagerank to a reasonable level, and provided that you utilized the right keywords when creating your website, land your site on page 1.
The topic of website content and its importance in SEO has been talked to death, but it is definitely worth mentioning. The only way that websites will start linking to you without prompting is if you have something unique and valuable to offer. This is where the content comes in. Just make sure that it is interesting and original, and eventually someone will link to you.
Directories are dying, but not dead. You can still get a bump in your pagerank if you are accepted to a respected directory like DMOZ (The Open Directory Project) or Yahoo Directory. The only problems with these directories are that DMOZ takes forever, literally, to review and approve your websites application to be listed there. Yahoo, on the other hand, will cost you $300 just to apply. This doesn't guarantee that you get in either. There are a ton of other directories out there if you wish. You can find a niche directory for your specific topic, that may send some traffic your way but don't expect a bump on the search engines.
You can contact other webmasters and ask if they will host a link to your website for a link to theirs in return. The problem with this is that Google doesn't respect reciprocal links, and it won't help you much. It won't hurt you either though.
Article Marketing is probably one of the easiest and most powerful ways to gain natural inbound links to your website. You start off by writing an article that is relevant to your website and posting it on an article submission site. I recommend Ezine Articles. Then this article is both hosted on that site (which is a link) and eligible for syndication on other sites. Just by posting that one article you have the potential to earn unlimited backlinks. I would recommend building a good library of articles pertaining to your website. People are much more likely to use them if they have something to choose from.
Link to Me
Add a section on your website that will allow visitors to link to your website. You will provide the necessary code and all they will have to do is paste it in. I can't say how well it will work, but it can't hurt.
If you only use one of these approaches, you are not likely to succeed. But if you utilize all of them, then you will create many natural backlinks and your website will prosper. It is a lot of hard work, but in the end it is definately worth it.