It is nothing but a traffic builder or SEO. In a three-way link exchange, three different domains must be involved..x, y, z are three websites. it is considered negative. its a triangle x linking to y, y linking to z,and z linking to x.
Some webmasters own multiple sites and try to build up one of their specific sites by offering link exchanges from their other sites. In doing this they add a link to you on their other site and get you to link to the main site they are trying to build up.