I did link exchage on a large scale and analysed it with google analytics and saw on a long term a real increase in customers visiting my website. So I can defenately say that link exchange works for increasing your traffic. But I can't realy say if three way link exchange is not good cause I did both. It is important to stay within your market and to use more a way of content exchange instead of link only. Because it is working I'm still doing it so if you feel like contacting me about this feel free to sent me a message to ask some things about this.