In order to build credit, you first have to get credit. The easiest way to get credit is to obtain a credit card.
Although it is easy to obtain a credit card, this does not mean that you should apply for and obtain the first credit card you come across. You do not want to pay high interest rates and high fees (including annual fees and activation fees) while trying to build your credit. Thus, you should look for a credit card with a low, fixed interest rate and that does not charge any fees, whether annual, activation, maintenance or any other kind of fee. It is important to note that some fees, such as over the limit fees and late payment fees, are universal and, therefore, you will not find a credit card that does not have these fees. However, these fees are enacted only if you do something wrong. Thus, those fees are avoidable. The point is, get a good credit card from a major provider (Visa, MasterCard, American Express, or Discover) in order to start building your credit.
Obtaining credit is the first step to building your credit. However, just having credit is not enough. In order to build your credit you have to prove that you are a responsible credit user. This means two things: (1) you have to use your credit card; and (2) you have to make timely, monthly payments on the outstanding balance on your credit card. By doing these things, you can start to establish a strong credit history.
Remember, this is just one way (but a very effective way) to establish and build your credit. Other loans that you may obtain (car loans, home loans, student loans, etc.) will also build your credit as long as you always make timely payments.
Good credit can open many doors for you. Build it early and make it strong and you can utilize this powerful financial asset to your advantage.