It depends on the target website & your linking goals. An ecommerce website selling tires to Northern America is going to have different needs than a plumber in Chicago, IL.
As for some actionable answers, here are some fundamental links with examples:
- Business profiles such as aboutus.org
- Directory sites such as botw.com & crunchbase.com
- Vertical search engines like yelp.com & lawyers.com
- Informational sites like wikipedia.org
- Communities like forum.bodybuilding.com & homeowner-talk.com
- See this post for more ideas: http://www.seomoz.org/blog/inbound-marketing-is-taking-off
Those fundamentals won't get you very far. They'll help the spiders notice you.
The links that matter are going to take some work to find. They are going to be highly relevant directories, curated lists, forum/wiki communities, major trusted publications, etc. The links that matter will drive relevant traffic to your website. They will be earned by relationships, quality contributions and outreach.
Here's something to help frame your thought process & strategy: http://www.seomoz.org/blog/the-6-month-link-building-plan-for-an-established-website