There was a time when a lot of people started saying that a reciprocal link was worthless or at most, not worth much if anything.
Reciprocal links being worthless is an old SEO myth. The engineers at the search engines realize many sites will not give a link without getting a link back. If you do your research you will see that search engine representatives such as Matt Cutts at Google have never said "do not reciprocal link". They have only stated to avoid high volume irrelevant reciprocals.
Link exchange is alive and well especially among niche markets such as the wedding industry. It's perfectly fine for the wedding photographers to link exchange with the wedding florist. It's better if those links are locale specific.
The links have value. They are all spidered by the search engines although the engines might not show a linkback in the index. Just because its not in the index doesnt mean it doesnt have value. Also keep in mind that link exchanges will generate traffic from the links themsevles.. and link exchanges are a branding function - they help spread the name of your website among niche markets.
Think of link exchange :
1st as a link building function 2nd as a branding function 3rd and lastly as an SEO function. Don't make linking decisions primarily on how you think its going to affect your rankings.
There is alot of misinformation on the web regarding link exchange mostly due to fear uncertainty and doubt (FUD) from so called "experts" that would rather have you pay them big $$$ for "seo".
Link exchange is as old as the web and will ALWAYS exist. Just make sure to use editorial discretion on making these links and do it slowly in a natural voume. That means avoid high volume duples services. If you use software to manage linking and publishing of your links (which is ok), just make sure its EDITOR BASED so you maintain full control over who you link back to.