Well, I don't know that zero is best, but you have to be careful. Google doesn't like anything that artificially inflates a site in the serps. However, if you do it wisely, it can be beneficial. Keep it (mostly) relevant, not a lot of sitewides (or any at all), avoid spammy sites and linkwhores, keep it 3-way or 4-way, and just a part of your overall backlink profile, and you should be ok.
I agree with Artifexus, link exchange should not be your only method of link building, it's better to have more one way links than 2 way links.
I agree with this. So to conclude, do exchanges with quality sites and don't just increase the number which is of no use to you.
From what i have read - Build links manually, don't get hundreds of backlinks overnight. It looks spammy to google. and their is no limit to getting backlinks. go slow and steady