Free business listings are a great way to build valuable links to your website. There are thousands of free listing websites to add a link back to your website.
Links: HotFrog, Yelp, Yellowpages, Biz Highway, Local.com, Yellowbook, Super Pages, Manta, City Squares, Merchant Circle
These links are vital to show up in the location based search in google, bing and yahoo.
Links: Google Places, Yahoo Local, Bing Business Portal
Link to other local companies and ask them for a link in return.
Worth more then traditional links because they can't be bought.
This could be a chamber of commerce, a trade organization, or any other business organization.
Another good source to place inks back to your website. There are many free PR distribution services online.
Links: PR Web, PR.com, Click Press, PR Buzz