The problem with link exchange is there is a page called links, maybe once on the homepage, then the links pages may be split up into several categories and so on......very little value.
If you swap on some decent page, you more than likely need to give something decent back in exchange. No such thing as a free lunch unless the other party is green.
Really it does my head in just thinking about it. If you do ecom sites like myself, I would rather go and purchase a link somewhere. I cannot even contemplate scheming a scheming scheme to cleverly get Obama to give me a link from his homepage. I would rather call him up and say, how much for a link man.