Yeah..., make sure to do it carefully. Before to start the process, make sure to check a site that you will link. Is it safe for your site? To help you to monitor the link exchange, you need link exhcange software. Without it, if someone remove your link from him/ her site - how do you know it quickly?
Is "Link Exchange" still a good way to gain links, or even improve PR and then SERP? I understand your site would get Link Juice from the other site. But at the same time, Google would offset it if they find a reciprocal link in your site. That's what I heard. Is it true? That's why people come up with 3-way link exchange to get around with this. Any suggestion?
iSnare.com can helps you to generate thousands of backlinks by article submission. This way can increase PR of your site from 0 to 1 - 3. I personally use it. I heard that someone has good experience with iSnare, he only use iSnare to increase PR of his site to 5. I love iSnare!!
Find virgin pages -- that is sites with low pagerank 1-4 PR , with perhaps 1 or 2 outgoing links on them , check their backlinks --are they stable, clean, long term ? Then trade a link with the webmaster.
Directories can help you to generate backlinks to your site to increase page rank of your site and also improve ranking of your site. You need a directory submitter to speed submission process.