I have ever met such a problem. According to my knowledge, it would be much safer to have two-way link exchange, for it will be much easier to follow the link. While for three-way link exchange, you will easily got cheated for it is difficult to follow.
How on earth could a two way link (reciprocal links they are called) be safer??!!! 1. Google can follow the links to both sites and see that it is reciprocal, and therefore a manipulation through agreed linking. 2. Google SPECIFICALLY states that excessive reciprocal linking will get you a google slap. One Way Backlinks (You link to me, I do no link back) are the ONLY links worth having.
3 ways are probably a bit more benificial, as long as they are all 3 on different IPs. However, exchanges in general aren't really that helpful. Remember that one of the biggest factors in pages rank is the inbound links to outbound links ratio. you want to accumulate way more inbound links than you have outbound links. And if you have to give a link to get a link, you're not getting very far.