Link building is very important the more links you have out in the internet the more google will consider your site as a high quality website. Not only that but it is also good for getting traffic. There is plenty of ways to get links.
1. Get other sites to add your url to their site
2. Put it in MSN Myspace profiles
3. Sign guestbooks
4. Reply to blog entries at sites where allowed
5. and much more
Going after the competitors
Try this trick.
Take your competitors url and go to yahoo to find out their sites. Type in the search link://http://www.HISSITE.com and it will give a list of links that he has. Using that list E-mail each site owner asking for a link on their site of yours. Some may ask for a fee and others will not. You'd be surprised how many will say yes and the stronghold these links will give you.