Link exchanges: The poor man's SEO from CNET discusses the pros and cons of link exchanges. The article isn't bad, overall.
What I personally find funny is that CNET quoted Evan Duffield after Evan emailed CNET with a link exchange request. Evan got a lot more than a simple link exchange, he got a whole article with clean links to his sites on the News.com domain.
Forum discussion at WebmasterWorld