First, link to other sites. Choose sites that have similar or related themes, and invite those sites to link to you.
This is hugely important. Search engines love sites that have many links to them - especially if those links come from sites which are themselves popular.
Now you see why I said build a useful, interesting site. If you do that, people are more likely to link to your site.
Here's an article I wrote describing how to get reciprocal links.
Reciprocal links should be only a small part of your marketing strategy - not your whole marketing strategy.
Even better than reciprocal links are one-way links. Here's an article describing how to get one-way links.