I no longer accept link exchanges on my blog.
Almost all of these blogs that want to exchange links to me either have low Google Page rank and are anonymous, and impersonal blogs that lack a personality.
Initially I used to accept all and any kind of link requests regardless of whether their sites had a high Google PR or not. Some of these guys got a nice link from my side bar but I then found that my link back from them would be buried in some Godforsaken page deep within the website.
I also had some who promised me that my link "would be there indefinitely as long as our link was not removed". I go back a few months later and find that the entire link page has disappeared.
So I have finally decided that I am not going to exchange links any more. I will just link to blogs I like and of course, I do accept text link ads.