Link exchanges are one way to help with link authority, especially if you have nothing else going for you. Promoting blogs and fresh quality content are preferrable, but some people don’t have time, and reasonable, content targeted link exchanges can at least get you on the map. But you need to be very careful.
1) Beware 3 way link exchanges with junk sites. Generally the person requesting the link will want you to link to their client’s site, but all you get is an incoming link from their throw-away wordpress site that looks like it was put up in 15 minutes. Don’t bother.
2) Ignore link exchange requests that require you to put your link up first. If you do, they won’t. Credible link partners will always place your link first (not necessarily before they contact you though).
3) Ignore link exchanges showing y0u some great PR sites that will link to you, but you have to put up your link first. Hint: those aren’t even their sites! A certain percentage of webmasters will see that high PR and put the link up.
4) Don’t exchange links with any website that is unrelated to yours, i.e. don’t put a viagra link on your golf club ecommerce site.
5) Don’t swap links with any low quality website. The search engines will never count the link anyway, and you will be wasting your time and credibility.