There are tons of sites out there whom will offer to do a link exchange
with you. However, more often than note, this website will place your
link on their links page. And, while the main site you are getting the link
from may have a Google page rank of 4 or 5, their links page may have a
Google page rank of 1 or 2.
So, when Google analyzes the value of the link you have recieved, it will
factor the page rank of the page your links is on as opposed to the site
your link is on.
So, obviously, its good to have links out on the web. These links can result
in free traffic to your site. These links can also help your ranking in
the major search engines. However, be sure to take noticed of the
actual page that your link goes on. And, it is probably not a good idea to trade links
with someone if you put their link on a page with a page rank of 5
in return for a link on page with a page rank of 1.