Personally, whenever I see a link, I try to thank the person who posted the entry. Usually with a comment. If I have anything additional to say/contribute, I’ll do that, as well. Maybe I’ll start e-mailing people, as well. I’m not linked to all THAT much, so it’s not that big a deal, but it is something I’d like to continue to do, even if I start to be linked to more and more. I appreciate the links, so I express that appreciation. Plus, it gives you an opportunity to create a relationship with the person, as well.
How do I find links? Generally, through two main ways. Technorati watchlist and my traffic logs. I don’t sit there studying my traffic logs of searching for mentions of my sites, so I miss some, I am sure. But, when I see one, I do say thanks.