Link exchanges used to be the best thing since sliced bread to SEOers. You see, people loved to link to each other and vice versa so much, that Google caught on. Now you hardly get any PR from direct link exchanges, and you are forced to do 3 way link exchanges that are awkward and hard to manage if you do anything. But there are other ways to get link juice, like forums and blog commenting, if you really are link juice hungry. Try them out!