Just wanted to start a new conversation on this topic as there seem to be some huge misconceptions that link exchanges are a GOOD idea. I want to emphasize that it's an old technique that might have worked in 2000, but it doesn't in 2007. Search engines are wise to link exchange programs, automated link programs, link farms, and the like. (For example, Google has an entire team of people dedicate to spam-detection, as I'm sure Yahoo and MSN do.) Reciprocal links between two sites are not counted as highly as one-way links in most cases. Not to say that two quality sites with similar themes are never going to link to each other. (See this article on good reciprocal linking.) It's just that it shouldn't be your linkbuilding strategy. The best way to get link juice in the search engines is to spend time first creating quality content, and second getting links from quality sites.
Quick and lazy schemes are increasingly worth less, so avoid them. Here's a good rule of thumb, if it's super-easy and super-fast, avoid it. Period.
There are some linkbuilding resources out there for everyone here who wants to build legitimate, quality links. Feel free to post more resources here. I just wanted to get you started.
Feel free to share your thoughts and input on this topic, even if you disagree with my point of view. After all this is a conversation.