Have a proper plan: This is something that Zachary covered in depth through his blog linked in one of the replies here. You have to decide on which type of community you want to build (open, closed, etc.), whether it is going to be a community for all or a smaller, niche community gathering only certain profiles of people.
Research: At this stage, you mostly do targeting and strategizing. Identify your audience and research the places where they hang out (both online and offline). Create a communication strategy which will cover all aspects of your interaction with your audience in the future (special content, social media communications). The important part is finding who else (if there is anyone) is doing the same as you.
Develop/Get the technology: When it comes to building online communities, there are two ways you can do it. The pricier solution is where you develop the community technology yourself. This means you paying web developers to develop the software, the domain, hosting, etc. The other solution is getting one of the specialized tools for building online communities. One of such tools is Nichiate, software which we used to develop the largest global community of people attending Model United Nations conferences, MUNPlanet (Page on munplanet.com).
Execute: Once you've got the three above, you start with the execution by inviting the first members. Deploy all the communication channels to keep your audience engaged and maintain the steady flow of relevant content. For some time, the community will need to be manually engaged but after a while, a majority of the engagement will be done organically by the members of the community.
Spread the word: Once the community is live, tell everyone about it, especially within the circles that gathered around topics similar to your community's central topic. Social media can greatly help with this matter. Facebook, for example, already has all the people you want to target and convert into members of your community.
Keep providing the value: Value is the main reason why people keep coming back to your community. If there no value, there will be no audience no matter how much cash you throw into it.