Yeah, the thing about link building is that it shouldn't be approached as a strategy to lure people in, so much as another form of communicating. Despite being on a computer, it should be relatively organic and natural, like you're having a conversation with a bunch of human beings that you, I dunno, actually respect as fellow human beings, and aren't trying to pander to some antiquated form of salesmanship that a lot of link building SEO'ers fall into the trap of.
It's mostly about reciprocity, building associations and communities. Use links sparingly and responsibly, and people will give them more weight. But use links carelessly, and people aren't going to want to click the link or visit your site. The most important quality of SEO is to build quality content, and over time, and a little bit of patience, people will eventually see that care and dignity you took into building the site.
The part about reciprocity is especially important. I'm not an expert by any means, but as someone who's written a blog before, if I post a link to your website, I do expect you'll do the same for me. Forums like this one CAN be good places to include link, but check the rules first. Most people put links in their signature, but not all forums allow this. I know a lot of people said they have had success using yahoo answers: they put a link in the reference section. I tried it too, and it didn't seem to work for me. I'd say give it a try. ANswers questions related to your site or forum and link to it as part of your references. (I was doing it for a travel forum, and I'd say 'Moderate travel forum X "website URL")
I think the best link building is to contact other blogs/companies in the same field and share links. The thing is, it can be difficult to find that match. I use comment links, but I know Google likes them less and they can sometimes look spammy even if relevant.