How to build links to your web site without getting penalized by Google
You shouldn't go for one-shot solutions when building links to your site. If you participate in quick link exchange schemes like linkdumps or buy tons of links to your web site so that you get many links at once, chances are that Google will consider this spamming.
When you exchange links with other web sites, do it slowly and constantly. That's how it would happen naturally, over time.
Invest some time every week to build the links to your site and vary the texts that point to your site. Make sure that the links to your site contain valuable keywords that are related to your site and vary the link texts. In SEO terminology it's called building "Contextually Relevant Links."
Download SEO Software to see how this shit works.