It was never out of style.
It was abused by many and that might have made some say it was out of style but if you are referring to how it affects traffic and search rankings, its never been out of style or frowned upon unless you are doing it wrong.
SEO's who focused on high volume irrelevant link exchange have published their own woeful tales of failure. But if you do it properly, link exchange not only acts as a branding and traffic building function, you can get new websites to rank well solely from relevant link exchange.
The key points to keep in mind are:
- Maintain high relevancy. Ask yourself, does this site I am about to link to benefit my end user? If it does, get the link. If it does not or you aren't sure, pass on it.
- Obtain links in slow/natural volume. That means do not join a fully automated service that will force you to link in high volume overnight. Slow natural volume means you get three links today, one tomorrow, none the next few days, one the next day, six the next day, none for the next week, and so on. Search engines are watching the rate at which you obtain links. Obtain them slowly and naturally.
- Avoid full duplex systems and services. Services that claim "500 links overnight for only $50!" most likely force you to link with those 500 sites. Or they are one ways from junk sites. Avoid full duplex because who you link to tells the search engines exactly what kind of strategy you are signed up for.
- Maintain editorial discretion, always. You should control who you are linking to, not someone else or a software or service. If you do outsource linking decisions to another company or person inside your company, make sure they know what types of sites you do and do not want to be linked with.
- Use editor based software. If you do use software to manage linking, make sure it's EDITOR BASED. You should maintain full control over who you are linking with.
- Organize your links neatly. No more than 100 per page. It's ok to organize your links in a traditional directory format. Search engines don't mind classic menu driven directories just as long as you are maintaining high relevancy and natural link rates.