My method (I'm at an amateur level);
1. Find out where the competition get their links from, I use Free Backlink Checker Tool & SEO Software by RankSignals.com and Backlink Checker, Yahoo Site Explorer Alternative Tool 2012 Probably not as good as the OSE by SEOMOZ, but these are free and have given me some good starting points.
2. Reach out to existing Twitter, FB, Linked In contacts to see if we can get a link with some content on their sites (if niche related).
3. Niche directory submission, not sure how fruitful this is but I have gotten some good rankings (not sure if its directly a result of this though!). Free directories, I have never paid.
4. Link exchanges within the niche but with good content. Google frowns upon "link swapping" but is this still the case when good content is shared?!
5. Niche related blog comments (this is the one I struggle with the most!).
6. News / PR sites - not yet done. Have you done this? Is it worth the time (and money some sites charge)?
I understand some might not share their strategies, and its fine. But Im sure this would be of great help to those like myself.