Well actually, linking isn't fun at all. In fact, it's quite tedious. Seeking, responding to requests and adding links takes time and effort. But, if you're not actively building links RIGHT way you are going to be left behind. In other words, your site will be "Lost in Cyberspace". The plain fact is Google, and to a lesser extent, other important search engines, reward sites with links from relevant and important pages.
If you want your site to deliver lots of targeted search engine traffic (and who doesn't?) there are two equally important factors:
1) lots of keyword-rich, search engine friendly content 2) lots of relevant, incoming links from RIGHT sources
For real success you need to cover BOTH of these strategies. Don't concentrate on one and not other.
So, how do you go about building your links? It's not rocket science, but as I said, it does take time and effort. From my own experiences, here's what you should do:
1) Download and install Google Toolbar:
This will show you PageRank of page you are viewing. PageRank is a measure, rated from 1 to 10, of "importance" that Google gives to that page. There has been a lot written about PageRank. You don't need to become obsessed with it but it IS an important consideration when determining WHO to link to. A link from a PR-5 page is worth FAR more than a PR-0 page.
2) Establish a resource or links directory for your site. This lets potential link partners see that you are willing to exchange links. You should make it clear on your links pages what your linking policy is i.e. under what conditions you will agree to exchange links.
3) Your aim should be to build a resource directory that is relevent to your business. Don't try to build a mini Yahoo with umpteen different categories. Keep your directory focussed on your site theme. When you first start out you will be inclined to link to anybody in exchange for a link FROM anybody. This is a mistake. Be patient and choose your link partners carefully.
4) Before requesting a link from another site, add that site to your directory. Contact webmaster and tell them you added their link because you believe their site would be of interest to your visitors (and so it should). Give url where your link is located and ask for a return link, along with instructions on how you would like your link worded. NEVER demand by saying things like "if you do not link to us we will remove your link".
5) If you have not received a reply after 2 - 3 weeks send a polite follow up. Again, don't demand. No one is under any obligation to link to you. If you do not receive a reply to your second request it means that webmaster does not want to link to you, or they are simply too busy to respond. In that case, leave it and move on. I receive dozens of link requests a day. Sometimes it takes me many weeks to get around to responding. You'll go mad worrying about links that have not been reciprocated. Your time is better spent.