Keep it relevant. Don't swap links with websites not related to your own. Only swap links with websites that your own site visitors will find of value. If the other website doesn't want to swap links, and their website is quality, add their link to your website anyway. Reciprocation is part of the game, but creating a valuable directory of quality resources for your users will make the users happy, and good SE ranking will come as a result.
All of the above....plus a couple of other considerations to bear in mind.
If you start a links exchange program with the Google toolbar showing zero, a lot of recipricants (did I just create a new word!) will shy away from it.
There are a lot of directories out there offering a facility to add a link... but don't. I suspect quite a few are no longer active. Same applies with lots of individual sites who offer link exchange.... but don't.
I have recently spent time on an exchange program (excluding all pay for inclusion) which embraced all the comments made above and I got a response rate of around 20 -25% from cold canvassing.
.... oh, I see you were talking to power link swappers. Ignore everything I have just said. :)