Personally i would not go into link exchange, not even one way link exchange. But thats just me and does not mean you cannot benefit from it. If decided to try it, i would suggest, you make a new sub-page just for that purpose(the exchange links) and preferably link that exchange page only from site map page. Or in other words dont link that exchange page to much through the web site, as it can eat some of the pr juice. And go for one way link exchange.
I think link exchange is a good thing,if you are exchanging links with good PR And niche related website. Google count every link as a vote for your website and consider it as a popularity of your site in a specific niche.
You have taken the right decision to do "Link Exchange" although its not an easy task if we get the oppotunity of link exchange with different website then it benefits us alot like:- It effects our website's PR and google read's all those link's but we must see that the site with which we are exchanging our website link we have not put "no follow" command if they had put the "no follow" command then we will get seo benefits and we must prefer to exchange link with those website only whose pr is more or equivalent to our website.
by Ezzaral: Snipped 'fake sig' link. Please restrict such links to your site-wide user signature, which can be edited from the user control panel.
As others have stated, yes. Link exchange is good... as long as its done with links to sites with good PR. Sites that are related, and have quality content. Bad links... Bad PR... those will harm you more than they will do you good.