Well you would be able to trade link with other people in a more organized way. Having a links page would keep links from exchanges off other pages. My personal plan of approach is to not have a links page, but I plan to build a directory that I will use to do link exchanges. Those are the only benifits I can see. Downfalls are obvious, it could draw from you traffic if you linking to a site better than yours on the same catagory.
It cannot harm IMO. Post only those links that provide information related to your industry and not to your competition. You may not have a large directory, your link directory will not grow overnight but if you have nice informatory links, you will draw some traffic.
Depends on what your site is about. It might be a good idea to list resources, sites that your website's visitors maybe interested in and not just link partners.
I agree having a links page is always good, but while exchanging links with other sites make sure they are not cheating you with no follow links or robots disallow.
If you are not just an seo but also an internet marketor you will want to setup a links page. Most people who are savy in making money online no that to do it you need to put up sites. Put up as many sites as you can. By including a links page you setup your site to grow over time without being TO proactive. I USUALLY setup a links page with an add option becauseit helps my site grow. If you are building a really truly keen site that you want to really stand far above others then I would recomend NOT putting up one and simply do one ways and ONE WAYS ONLY. Sites like motortrend.com and importtuner.com only use one ways. They dont even do 3 ways.