Search engines rate your site higher if it's an active part of the World Wide Web community. That means it's good to create links to other sites (outbound links) that offer relevant quality content on related subject matter.
Of course, it's great if other quality sites contain links to your site. One way to get the world to notice your site is to notify Google, Bing, and others that they're welcome to index your content; all search engines have a service that allows you to submit your site. Another way to get others to link to your site is by submitting your site to several useful directories. Other sites or blogs might want to link to your site if you offer good and relevant content. You can also consider writing articles for related sites, providing these allow you to link back to your site.
It's also worth adding internal links (that is links within your site). By adding these, you'll make it easier for both visitors and search engines to find your content...