The thing with link exchange is that while you are getting inbound links and a bit of
PR juice with each one you are also bleeding your own
PR on the outbound reciprocal links. So if you can get one way inbound links that's always better.
You also have to consider the page that links are coming from. I have seen sites offering to exchange links on some of the link exchange sites and all their links (to your site) are on a page that is in no way linked to any other page of their site (very naughty of them), so is it even indexed in Google? If it's not you are getting a bad deal. Also what if the other site's 'link' page is listed from their other pages using the nofollow, noindex tags? Same problem, that page will appear to users (who are a. probably not even going to look at the links page, and b. if they do look at the links page what's the chance of them finding your link among hundreds of others?).
I just find it's much easier, and more beneficial to get one way backlinks. I have tried link exchanges - both free and paid (3 way links), and in my experience it's just not worth the effort. According to many blog and forum posts I have read some site owners have even seen their site ranking go down - they suspect because of link exchanges.