If you ask for effective link building then you may get many similar response like:
forum posting,
blog commenting
social bookmarking
article directories etc.
but they may not be effective, you have to do it effectively. For example, if you are doing link building using article directories then you have to submit fresh articles to only top article directories for greater benefit.
On the other hand if you are doing blog commenting then you have to choose which blogs are effective and relevant to your blogs and site.
Link building means it is not to through your links anywhere, it should be thrown at right place....
If these links are getting some traffic then it is also beneficial in terms of SEO.