Only the right kind of links will help your search engine rankings. The wrong links can have a negative effect on your search engine positions.
Try to get related one way links. Then if your request for a link is met with "I'll trade a reciprocal" then make the trade if you think the link will benefit your site's users...and that you'll get some traffic and link juice from the trade. This type of link building works well for most web sites.
One way linking is always better as there is no risk of page rank getting affected due to other sites.
Whether it is a 1 way or 2 way link exchange, what is important is that you are link to related sites.
Two-way linking is risky, risky! That seemingly respectable webpage you are linking out to today might tomorrow be sold and become a porn site, a link farm, or similar disreputable site. Why in the world would you take that chance? I link outbound only to well-established, proven, reputable websites.
I think one-way links from reputable sites related to your website niche are difficult to find, because the other side always expects something in return. How do you convince such an established site to put a link to your site? Maybe you just have to settle with quality niche link exchange... How about paid links, then? Do they have any disadvantages (Google penalties)?