Looking at who links to your competitors is one of finding sites to link to you, but it's not the only way.
Ultimately the best way is to create content that people want to link to on their own without you having to ask. That takes a lot of work and you obviously need some people to find you first.
To find who links to your competitors do what's called a link search at any search engine:
link:
http://www.competiorsdomain.com
Google only shows a small sample. Yahoo will show the most. Some of the sites that show up may not give you a link, but some might. You at least get to see who links to your competition. Ideally you should be looking for competitors who show up when you search for your keywords in a search engne.
You can also look for directories. Most directories aren't the greatest links to have, but if you can find nich directories for your industry they can be good. Try searches for things like:
"your keywords" + "directory"
"your keywords" + "submit url"
"your keywords" + "add url"
"your keywords" + "submit site"
"your keywords" + "add site"
and any other similar thing you can think of. I warn you though it's really tedious. Most of the sites that show up should have a form you can fill out and submit your site. Sometimes you have to hunt through the site a little to find it and some of those sites will require you to pay or give a link back. I never give links back to the directories though.
The best kind of links though are the ones that are harder to get. If you can find a site that's related to your industry that will give you a link and it's a site where most of your competitors will have a hard time getting that link then it's one you want. If you like to write, article writing can be a good way to get links.
Here's a
tutorial I wrote on some seo basics. One of the posts in the turorial is specifically on building links.
It also doesn't hurt to
practice a little seo karma.