Well, for sure the most ethical link building strategy is creating quality content and making users link back naturally to it.
You can structure your link building strategy in more sections:
1) Article/Blog post inquiry
First of all you have to understand your niche and your target audience. If you write about food, than you have to search for newspapers/blogs/sites from food niche (with a good PR) who are willing to host one of your posts (which should link to a dedicated clients page on your site)
If you do it right, than Google is ok with it. But your comments shouldn’t be spammy.
3) Payed links -> Definitely buying links is not a good strategy, but submitting your directory to value directories (i.e Yahoo directory) is ok.
One thing to have in mind: 1 quality back-link is better than 10 lousy ones.
Ethical link building means you have to earn link, i.e credibility, reference and reputation. The core purpose of link is this not to just put your links any where. Also you should ensure that you are not involved link buy sell, exchange activities and other similar. When you talk about ethical then it must meant for value addition of end user not for your website.
SEO is meant for aligning objective of your website with its stakeholders, it is not just limited to SEO Guys who see it with the prospect of link building and keyword rich content, it is also about usability and giving optimum experience to searcher - I wish you all too see it from this glass.
Hope it helps