Link building is the cornerstone of any successful SEO strategy. There are lots of ways to go about link building, and all of them have different advantages and disadvantages.

Internal Links
These are links to other pages that occur within the website itself
Advantages: They allow search engines to find new content and they pass on PageRank.

Paid links
This is a widely used form of link building. The process usually means finding potential link partners and offering them money in return for an inbound link.
Advantages: Paid links go against Google’s guidelines but they can be very effective. Disadvantages: If you use a link broker scheme then you run the risk of being caught. In the past links have been devalued or canceled entirely.

Comment links
This entails finding relevant articles or blog posts and making comments, using keywords to link back to your site.
Advantages: Most comment sections on blogs are now set to ‘nofollow’ so your website won’t receive any link benefit.
Disadvantages: None really although you should try and have a spread of different types of links.

Social Media
Social Media links are pretty easy to spread through different channels like Twitter, YouTube and Facebook even if most of the are 'nofollow' links.
Advantages: One good bit of content disseminated across social media outlets could generate lots of high quality links from bloggers who pick it up.
Disadvantages: None, as long as you use your accounts properly and your contributions don’t appear like spam.

Press Release Links
This approach involves using press release distribution firms like PR Newswire in the hope of generating links
Advantages: This can be a great way to attract relevant links as long as the press release is useful.

Authoritative site (Gov or .ac.uk) domains
Links from these sites are the best way of gaining a positive impact on PageRank for targeted keywords.
Advantages: Although the benefits are great it is not worthwhile putting concerted effort into trying to get these links.

Link Baiting
Link baiting is the process of generating links by creating useful and engaging content and tools
Advantages: Link baiting is the best way of generating links in a long term strategy. As long as the content is something that others will want to share then you are onto a winner.

Reciprocal Links
Links from A to B and B to A. These links are completely devalued by Google and will not do anything for your PageRank
Disadvantages: Engaging into a strategy of reciprocal links is not a worthwhile exercise. It won’t benefit your site

Directory Entries
Acquiring entries on Business or Web directories.
Advantages: Done properly this can be great. Industry relevant directories can be an excellent source of traffic as well as providing a positive link.
Disadvantages: There are a lot of directories out there and many of them won't make a bit of difference, in fact as a general rule avoid directories that don't have interaction but are merely lists. As for SEO directories, the only ones worth pursuing at all are DMoz and Yahoo and even those won't impact greatly.

Link Building is a process and spending time on a mixture of approaches is most likely to yield good results. Link baiting is probably the best way to go about this because creating new content can be a great exercise in itself, meaning link building becomes part of your routine and something to actually enjoy.

If you have any tips on link building or want to share any experiences of success or otherwise, please feel free to join in below the line.