Originally Posted by HCChris
In terms of SEO, links that you create (such as in forum posts) are not very valuable. In fact, many sites will actually tell search engine spiders not to follow those non-editorial links. However, they can drive traffic to your site which in turn will hopefully increase your editorial links. I wouldn't bother too much with directories etc. because search engines don't think they're valuable and people don't visit them. The #1 thing you can do, as others have mentioned, is ensure that your website delivers value. Then, create some well targeted self-created links, and contact other websites to see if they'll mention yours in a post or if you can do some sort of link exchange.
I hope this helps.
Like HCChris said, a lot of forum posts/blog comments are listed as "nofollow", meaning that in terms of SERP listings, it has zero effect. However, if it's on the right page (say, you sell photo frames and someone comments/places a link in a photography forum) you'll get more traffic because of pure interest, and the increase in traffic should ultimately help boost your ranking.
If you ask for links, be professional yet personable. Address the person by name and show that you've actually looked at their website so they know you really mean business. This will increase your odds of getting a link!