I wrote a tool that happens to solve this as a side effect. go build alone will not check if the executable it's producing is already up to date. go install does, and if you tweak it to install to a location of your choice, then you'll get the desired result, similar to go build.
You can see the behaviour you describe by doing something like this:
$ go get -d github.com/anacrolix/missinggo/cmd/nop
$ time go run "$GOPATH"/src/github.com/anacrolix/missinggo/cmd/nop/*.go
real 0m0.176s
user 0m0.142s
sys 0m0.048s
That's on a warm run. go run will link on every invocation, just as go build would. Note that github.com/anacrolix/missinggo/cmd/nop is an program that does absolutely nothing.
Here's invoking the same package, using my tool, godo:
$ time godo github.com/anacrolix/missinggo/cmd/nop
real 0m0.073s
user 0m0.029s
sys 0m0.033s
For larger programs, the difference should be more pronounced.
So in summary, your standard tooling option is to use go install, or an alternative like godo.