This is perhaps the most important step in optimizing your website for the search engines.
Many of the search engines like to see that your site is 'popular' and therefore a good resource for them to rank higher and recommend to their searchers. If they see that your page has a lot of good websites linking to it, then they assume that it is a good website and will rank you higher.
One of the best ways to help increase the number of links to your website is to exchange links with websites that have content similar to your own.
Simply search for related sites in Google and then email each of them to see if they are interested in exchanging links with you.
The more link exchanges that you get with quality websites, the better you will do in the search engines.