I know everyone says work on your content but hear me out.
Think about it, if you click a link somewhere and the site you arrive at is awfull or useless to you, you leave, right? Well, the same thing can happen to your site.
Build up your content with information and other "stuff" your target audience
wants to see before
working on any link building endeavours. This includes getting yourself in the search results for the topics that your target audience are looking for.
This strategy works 2 ways:
1. You get visitors from the search results and if your site is fantastic they start spreading the word on the social networks, write an article or post about your site or link to you in their resources, sites to visit, blogroll or wherever they put links to sites they think their visitors would like. These are natural links that all you had to do was do a great job with your site.
2. When you decide to actively do some link building through the usual avenues where your target audience is, they have something fantastic to see and then the latter part of the cycle in point 1 starts again.
Getting a link or mention from a buddy (as described above by Dan and Brad) who has an established site which is crawled by the search bots to get the ball rolling certainly helps. But, your buddy isn't going to link to you unless you have a well prepared site for them to give you a referral for.
So many just into link building right off the bat, wasting time and money, without thinking about what the visitors are going to see on the site and what is going to get them to stay and cruise around a bit.