Natural - I let other sites view my content and link to whatever they think is valuable. Haven't pursued directories, link exchanges, or paid links in almost a year.
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I'm still a newb at this one but I've done: Directory submission to around 400 directories, Sig links, Posting in relevant forums and sneaking links in, and a few link exchanges.
It depends of the sites, for example when you got a tool site, its fairly easy to get word of mouf if your tool works well. Word of mouf is the best converting promotion IMO.
forum sigs
blog comments
social bookmarks (some of them)
article submissions
yahoo groups (only if the group is related and got a good rep)
and link exchanges
I tend to diversify my linkbuilding for more reach on my target audience as well. Its not just SEO benefits that I get out of them, but also targeted direct traffic