We always find tips that say do such and such. Like Submit here and post there or comment here. But they never say anything about the etiquette of these things. So here is my list of things you should do and how to do them properly.
Blog Posting - Make sure to actually read the post and then post a useful comment that adds to the blog. This will make the blog owner happy that you have taken the time to read his/her post and form a good reply.
Forum Posting - Try to find forums that allow links in signatures and some links in posts. Formulate good responses with some thought in them. Please dont put in 'Amazing post, Thanks!!'. That will likely get your post deleted or banned. In Short, Don't be a 'bot'.
Directory Submission - This is a tedious job and sometimes not very rewarding. Thats why I only do a few of these. the more important directories will give more standing. So target those.
Article Submission - You only need to do a few of these at a time. So make sure what you write is coherent and something that can help the reader.
Hopefully that has helped any new SEO peeps out there and given some SEO old timers a laugh