Your website’s rank for organic (non-paid) search engine results is determined in part by the “authority” of your website. Incoming links from other websites are a big factor in determining authority.
Also considered is the content of the website that links to yours and the “anchor text” that links to your site. The “anchor text” is the highlighted phrase which could be just the URL itself, but the value is improved if the text is related to the topic of your website.
Where do you find places to get links?
One way is to use a tool to find out where your competitors are getting links. One popular such tool is yahoo.com where in the search box you can type linkdomain:yoursite.com and yahoo will report sites that link to yoursite.com. Unfortunately, it has been reported that Yahoo will discontinue this service. So here are some other free tools that offer a similar service-
http://www.google.com/webmasters/
An SEO professional will do keyword research and use professional (paid) tools to create the best anchor text and find the best websites to get links from.
Bruce – nice post — one thing I would add is that it is important to vary your anchor text. Meaning not always use the exact keyword as the anchor. You need to mix them up with the new Panda updates.