A natural link is one that is given without being asked for. Therefore any form of link building, whether it is link exchange or anything else, can't be considered natural.
Google wants links to occur naturally, but in the real world if you have a commercial website, who will place a link to it on their site? It is different of course if you are writing an informative blog on a subject that is of value to the community, but for a site that is trying to make money it is very difficult.
Regarding link exchanges, I do them but am now very particular as to who I will exchange with, i.e. they must be relevant to my site and have a PR at least equal to it. I also limit them to 100, not for any SE reason but because that's as many as I can monitor regularily.
Just as natural links are difficult, so are relevant links. No-one in my field of business is going to give me a link on their site unless I give them one in return.
Google says it dislikes "excessive" link exchanges, and as mine only amount to around 2% of my total links, I am not worried on that score.

Last edited by ozsubasi; 27Jan2012 at 18:27..