Outstanding post by martinibuster, moderator of the Link Building Forum at WebmasterWorld, on the thread named I was Cheated on a Reciprocal Link. His advice?
Basically, - You don't exchange links with any page with a white bar. - Don't exchange links with any site that has a huge link directory - Always view the source code to make sure there's no monkey business - Always check the robots.txt to make sure there's no monkey business - Always check the backlinks of any sites they are linking to to make sure they show up as a backlink - Never trade links with anyone who approaches you for links - Always trade links with those that you approach - There are probably more things to keep in mind when trading links.
Of course those last too lines can become circular and the forum thread gets a bit into that, as well as adding a few more tidbits, including this one....
The link page should be in google cache (and not be too different from the original page!)
Forum discussion at WebmasterWorld.