It's incredibly tedious, boring, and full of rejection. But it's one of the very few link building techniques that has worked since the beginning, and continues to work today.
It would only be worth it (maybe) if the pages being linked are related. It's referenced as a scheme by Google's Matt Cutts.
Sorry forgot to include that. I assumed it was understood at this point. But good call on clarifying. Recip links must must be related. If Google beings penalizing sites for recip, then that's a sure sign of the end of times.
Google sees link exchanging as an attempt to manipulate search engines and therefore a black hat seo practise, BUT it is overlooking it for the time being so long as those links are related, if you are just exchanging links for the sake of a link then you will get penalised, especially if you have loads of outgoing links pointing to sites which also are linking to anyone for the sake of a link