I would personally start building relationships with other blogs and site owners in your niche.
Link to other sites and let the site owners know that you have linked to them. They will probably explore your site and link to something they find interesting as well.
If you are going to do a link exchange with someone ask them to link to your site or article on an upcoming post of theirs. (Only if they find it interesting or useful of course.) In exchange you will do the same for them.
Blogroll links are good, but where do you draw the line?
If you want good one way links. Blog commenting on do follow blogs is pretty good. But only comment if you have something to add to the conversation. You need to show respect for the site owners as they are helping you by giving you a backlink.
Hope this gives you some ideas