Linkexchange for me is not as effective as it was before... That was during before the Panda and Penguin updates...
because in link exchange it is one way of manipulating link because sometimes your linkexchange partner is deleting your link from their links page or if not putting some nofollow attribute. Logic isn't it? Manipulating for their own sake.
Because I believe in Google's guideline that:
Excessive reciprocal links or excessive link exchanging (”Link to me and I’ll link to you.”)
So I say not to Linkexchange and that's the bottom line...