First advice is not to do link exchanges - ie - two way linking where you arrange to link to each other sites. These reciprocal links are now devalued by Google in comparison to one way links.
Aim to build only one way links if possible, and do not worry about relevancy, all the current evidence from experts such as SEOmoz.org suggests that relevant links carry no more weight thatn non-relevant links. Its all about the quality of the site offering the link - its TrustRank.
So build one way links, build them steadily all the time, and dont worry about reciprocals or relevancy, and try to not get fixated with the
PR of a site either.
As for where you can build one way links, well, just look around ;-)