In normal reciprocal link exchange, you and your link partner exchange links with each other. Search engines can easily find that out. So, if you have many reciprocal links going in and out, each linking may not be weighed for the maximum value; thus your website may not increase PageRank faster. In a three-way link exchange, three different domains must be involved. For example, site A links to site B, but not B to A. So, site B is only receiving a one-way link from site A and NOT linking back to it. Likewise, site C and site A are linked from one site but not linking back. Instead, site C and A are simply reciprocal-linking to different domains. The way to create more natural links in a three-way link exchange is done by using a set of three one-way links. A, B, and C are only receiving one-way links, and they do not directly link back. Hope this can answer your question.
and it is a must nowadays unless the blog is directly related to your main keywords and niche you should refrain from multiple link exchanges especially all during a short amount of time... sometimes a website will pass unscratched and others google just won't count them... so a waste of time..
If Page A is linking to Site X and to Site Y , similarly Page B, Page C , Page D … (some good number of pages) links to both the sites , then you do a G or Y search with , you will get Site X as related (even though X and Y may be extreme apart with theme) and similarly if you do G or Y search for related: you will get related Site Y, thus Search engine can understand that Y and X are related.