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There are directories like Yahoo, DMOZ and others that are obvious places to get listed. You could put out an online press release. And if you have a useful and/or interesting website, bloggers and others might be convinced to link to you. Find anybody who has a website really. The more links the better from the standpoint of search engines.
* Build your own link list. 10-20 links that you think your visitors would enjoy. Like: "My recommended sport sites".
* Ideally you should make sure that all these sites have an OK Google PageRank (PR4+), but at this stage, you really do not have to worry about that.
* Mail the webmasters of these sites. Tell them what you like about their page, and why you have added them to your list. Try to be personal. Ask them nicely if they could link back to you.
If you write a nice mail and have a decent page with real content, you should get a few link this way. Do not send reminders if they dont link back.
There was a thread, maybe one of the best ive seen at webmasterworld here:
I should have bookmarked that.