What is the point in being dishonest? I have built 30 links over the last two weeks and out of the 30, 10 of the websites have taken my link off their website yet they are gaining traffic from mine. Can anyone who has done this fancy telling me why? If you think the site is not suitable don't exchange in the first place!
Unfortunately, there are people out there who do this. However, as the good seo people will tell you, build your site around good, solid and relative links so this won't happen. After all, if it benefits them (it's a good and relative link) they will not remove your link. Make sense???
Some people are just shady. You have to be very vigilant, unfortunately. Building solid, relevant links will help but doesn't completely stop people from trying to pull these kinds of stunts if they think they can get away with it.
The more relevent links you build up, the less likely the exchanger will remove you since you will give them relevent traffic & vice versa.
Link exchanges are very rarely a 2-way trade. In my case running a small site it is hard to get bigger sites to link exchange with you. I run a wordpress based site and use a plugin called "Incoming Hits Counter" which when installed will track how many incoming clicks you have received from each domain. That way you can choose to only display links to sites that have actually provided you with traffic. I have a "friends" section for the top 10 sites that have provided me with traffic and the rest are still listed but on a separate page.