Generating links to your website is important for you to increase traffic, but don't focus on creating as many incoming links as you can; fewer high quality links will benefit your site far more than generating tons of low quality links from low ranking websites.
You've probably heard the mantra, "Quality over Quantity." Well, the same holds true for linking strategies, yet so many people spend their time generating large numbers of low quality links from websites that are often not even related to theirs. They do not understand that a few links from other websites with a high page rank (PR), which are related to the same niche, will produce higher flows of qualified traffic.
And if the link is coming from a high PR website in the same niche as your site, Google and other search engines consider it to be a higher quality link, which will increase your rankings in those search engines.
How to get a high quality link
The best way to get a link from a high PR website is to contact the owner or webmaster of that site and try to persuade them it's in their best interest to include a link from their site to yours.
This will be easier if your website offers a product, or content, that compliments the theme of their site. If that's not the case, you can offer to write them some unique articles or reports they can use as content on their website (with a link back to your site of course). You can also propose a link exchange, where you include a link to their website on your site, and vice versa. You should try and get a one-way link if you can since search engines favor these types of links, but if all you can get is a link exchange you should still take it.
If your website is new it will be hard to convince most webmasters to link to your site. But hope is not lost. You can still write articles and submit them to popular article directories. There are always webmasters searching through these directories for content to include on their website. And if someone publishes one of your articles on their site, chances are its niche will be related to yours. These sites will likely not have the highest page rank, but it's a good place to start.
Remember, you should not concentrate on generating large numbers of links to your website in order to generate traffic. A smaller number of high quality links will produce far more traffic in the end, especially from search engines.