I feel there are two ways to get a link exchange, on is a true linking relationship, and the other is a fake link, and I feel that most search engine bots are picking through the links and choosing which they think it is. If you are signing up with a referral network, and all they do is match you on a 2 to 1 basis with other webmasters for the exchange of links, then this is what I would call a fake link. It is pretty easy for a bot to follow the links pattern created by these automated networks and discount them. On the other hand, if you actively seek out websites or blogs with a related interest and offer a link exchange with them on your own, then this would be a true linking relationship, will more than likely not get penalizes, will bring in extra traffic, and didn't cost you the extra link from some stranger site. Unfettered link exchanges also run you the risk of linking to a Google slapped site, and you would never know it, and linking to this site might affect your traffic. If you belong to a referral link network, you would still have to keep this link if you want the returning link back. You could even lose your whole account if you remove it. If you do your linking on your own, at most, you risk losing one link out there if you decide to break an agreement off due to it being to your disadvantage.