It will hurt your site if you reciprocate to low/no pr site. And excessive link exchange may also ended your site to penalization. It's better to gain one-way link with high pr.
I think reciprocal links are useful if the site linking back to you has similar content, this will allow you to have a greater SEO ranking. If you have a forum and several blogs link to your forum your SEO will improve so its useful when you have relevant content.
3-way link exchanging is just one step short of a link farm. Remember that before you dive into the deep end
I have about 20,000 inbound links and about a dozen outbound links. Those few outbounds are entirely to webmasters I personally know and trust. That pretty much summarizes my take on reciprocal links. Why in the world would I want to link out to a website over whose content I have absolutely no control? A decent page that you link out to today might be a Viagra page next week!
Jim you got it again - the chances of it being a viagra-related site the next week is almost a certainty if they're asking for 3-way link exchanges