Simple question but a hard one to answer

What do you think is the best way of building links?

I have heard of people joining websites like LinkExchanged.com which makes the process of link exchanging pretty simple.

I prefer going through the search engines and typing in a keyword related to my site, and then just emailing all the sites owners asking for link exchanges. So far it seems to be paying off as lots have emailed back and added my link, but in terms of it showing in the search engines its far too early to tell.

What are your best and proven methods of link building?