I will not comment on the directories discussion as the boys have canvassed it well.
On link building the first suggestion or step I recommend is to capture the first 75 URL's that appear in the SERP for the most important keyword you are targeting. Then strategize how to get a link to each of the URL's - yes some are competitors so they are no good. Many are not competitors. Links from these pages have high SEO value. Be relentless in pursuit of these websites for backlinks.
After I have maximised my efforts on the aforesaid I then look elsewhere.
Good luck, let me know if you need any help.