If you are going to exchange links then be sure that it is related to your site and must have a higher pr then yours.
i think they are very helpfull if you pick the right link partner with the same related niche you will be fine i have built loads of backlinks this way
Thanks to everybody for advice, I've tried a couple of swaps with one of my sites to "test the water" as it were...
Link exchange is an obsolete practice and not too many people believe in it. You could probably try getting links from the much newer methods, social bookmarking, blog comments & posts. This apart, the tried and tested method of directory submissions is always there… Amongst the directories, there are the article submission directories, the paid directories, niche directories and not to forget the good ol’ free directories.