Reciprocal links are one of the first ways you can bring free traffic to your website. They also contribute to solid search engine rankings, and can get your website indexed by search spiders faster than if you were to manually submit your site.
Unfortunately, finding link partners is a horrid job.
I do three things to get some incoming links as soon as I have a site online:
1) Find webrings associated with my topic and join them
2) Search for “add site” +topic_keyword in a search engine to find sites that offer link directories in my topic. (Actually, I use MetaSleuth to find these sites and dump them into a database. MetaSleuth is an unadvertised free bonus given to Conversionary purchasers.) and
3) Set up an account for the new site at SiteSell’s Value Exchange
Between these three methods, in addition to crosslinking with my other established sites, it’s relatively easy to have 20+ incoming links within a few days of a site going live.