John Scott recently wrote an article on link building entitled John Scott on Link Building. It's been quoted and linked to multiple times since then, and for good reason. John makes several very valid points.
Buy links from websites which exercise editorial integrity.
This is a common mistake. I see people buying links from sites that are selling links to any and every spammy site under the sun, and it sticks out. Those people are just asking for trouble.
Vary Your Anchor Text
Awesome tip! I recommend making each link a unique anchor text.
Do NOT Rent Links
Finally somebody said it! Think about it. You can spend $10,000 a year on rented links and have nothing when those expire, or you can buy permanent contextual links for $40 each and end up with 250 permanent links at the end of the year.