for me, press releases and article submission are good
the only sites you should be considering which are not industry specific is if you can get hold of any .edu links or other highly trusted domains.
Think of link building as relationship building. You do want to build links that are relevant to your content, your website. You don't want a female escort service linking to you if your website is about search engine optimization.
The key is to have relevant incoming links; this not only builds traffic, but it builds your page rank as well.
For me, I am a student of social network marketing, Facebook, Tagged, Digg, StumbleUpon, etc.
I find a lot of like minded people in those communities who not only visit my website, but they share my link with others who are interested in the things I blog about. It doesn't cost anything but time, and on top of that it's fun.
I recently blogged about linkbuilding (twice actually)...you should check it out.
http://teasastipstechniques.blogspot.com/2007/10/link-building-4-dummies.html