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.