Buying links? No, don't do that.
First, optimise your own site. Ensure your code and CSS conforms to W3C standards.
(sites in general do get ranked better for it on certain SEs)
Create a 'Partners' page on your website for outbound links to partner sites.
Create a page offering a 'Link Exchange' where webmasters can sign up and exchange
links with you. Let webmasters 'choose the page' they wish to link to on your site.
check all partner sites that sign up and request a link exchange, ensure the content
of those sites is similar or same and uses some of your main keywords and keyphrases
you use on your own site.
Test your links daily to ensure your partners are displaying 'your back link' on
their websites. If you find one missing, contact them and ask where it is.
Fire up Google/MSN/Yahoo/Ask and find every 'free directory' listed. Submit a listing
written with your 'main' keywords and keyphrases in mind.
Add content regularly, and optimise each webpage for it's content.
Once you start receiving some decent traffic, sell premium space on your front
page to your competitors lol