Be a user when building links. Make your link exchanges appear as naturally acquired.
Ensure your links are placed in places where search engines anticipate them to be such as on pages with relevant content. If possible place all third party links aimed at relevant pages together either in the page copy or in a side bar. Anchor text should also be naturally written without any keyword stuffing.
Consider what makes you create links to the sites you like. What makes you refer a web resource? Is it an assortment of online pictures or handy tutorials, or was it that tempting title? Apply this in reverse; write interesting and unique content that most likely will attract links.
Avoid getting in to situations that can damage your reputation in the eyes of search engines. Avoid links farms and poor quality links from suspicious looking websites. Reciprocal links are no longer given any important weight. Any attempts to disguise reciprocal linking using three-way or similar linking schemes will easily be detected. It is foolish to think you can trick Google into believing link triangles are legitimate with its advanced computing resources at its disposal.