I preffer to just make the links my self, i always target specific websites that can help me get higher pr and get placed better for certain keywords
i was very much worried when i started link building. i studied my competitor's link building strategies. i saw that most of the links are from the inner pages. i can't reach that places. i was upset. but after that i started blog commenting and one way directory submission. it gave me good result. so i don't think there is any need of link exchange. NB: remember that during directory submission don't do reciprocal link building. sometimes it is considered as the link exchange. thanks