in exchanging links, you should be dealing with the same niche. look for those who can provide you pages with PR and should be related to your site. in link building, try promoting your site, do classified ad posting, social bookmarking, article submission, dir submission, forum posting with your sig on it. etc.
You should exchange your link into relevent site.. and 2way link exchange is better.... Dont allow to place your link into a link farming site....