Let other sites come to you. That way you will know if your site is any good. Exchanging links for the sake of it will be bad for you, especially Google. It will downgrade your PR (Google's internal PR) if it 'thinks' you are just doing it for traffic or SERPS
Instead of link exchanging I use autosurf programs like www.topsurfing.net to get free hits to your site. They help a lot in getting your website higher in the search engines. I have never paid for any advertising and my sites do well in search engines.
Link exchange is great techniques to generate traffic. You can simply ask another web master and website owner to share their website link with you. There are lots of automated tools available which are also great source of backlinks towards your website.