Take out a loan with an asset on some collateral. Invest the proceeds of the loan and then pay it back on time.
Open some credit cards. Make some charges, pay them off. Doesn't have to be big amounts.
Close all unused credit cards, get it down to 1-2 cards. Make sure you pay on time, you don't even have to pay them off completely, just do it on time.
Get a secure credit card, at a local bank, easier at a credit union..
Pay off as much of your credit card debt. Your credit score can drastically jump by simply paying off your credit card debt.
I increased my score from 630 to 720 by paying off my credit card debt in 4 months.