There are many approaches.  Some are better than others.  I'll review them now.

Pay for them
You can shell out cold hard cash in exchange for links.  This can work, but it will most likely back-fire.  Search engines are looking for links that were created to connect to quality content, not because they were paid for.

To build the reputation of your web site in the eyes of search engines, you need quality in-bound links more than anything else.  There are a number of factors which determine the quality of an in-bound link:

Here are some ways to make friendly URLs (uniform resource locations) for your web pages.  These optimizations are not geared toward only search engines, but people as well. You'll learn how to get urls the best they can be.

If you're looking for domain name optimization tips, check out my other article called Domain name SEO - Optimization strategies.

1. Use your top search term.
   Determine your top search terms for which you want to be found.  Pick the one which is most applicable to your site, and make sure it appears in your domain name.
2. Make sure it's nothing like an established domain name.