I have tried to link exchange sites, and have been very disappointed with the results. I think all of the people you trade with pull your link within a few days of you placing theirs, and/or they place a no follow tag on their site.
I have recently evaluated all of my major competitors in my market. One had 900 links back to his site, one had about 150, one about 78, and one 13!
I'm thinking to myself, "How does the guy with 13 end up on top?" His links were very relevant to top partners, including the company that did his SEO, but the common link among all of the site was a minimum of 50 pages of relevant content well laid out.
Blogs seem to be a decent place to link from
Online Yellow pages
Directories (although I question most of them)
Relevant sites who are willing to trade links.