A WebmasterWorld thread is having a debate over the topic of link exchanges.
There are those that believe link exchanges help improve your rankings in the search results, then there are those that believe they do not help.
Tedster quotes Google's Matt Cutts as saying:
"Reciprocal links by themselves aren’t automatically bad, but we’ve communicated before that there is such a thing as excessive reciprocal linking."
That is the key, "excessive." Everything in moderation, is the line my dad tells me. Same applies here. You can see a positive return from exchanging some links with relevant sites. But don't go overboard and create dozens of links pages. Make it natural.
Forum discussion at WebmasterWorld.