Years ago reciprocal linking was a major tool for building links. The fact that there was a sub-forum devoted to it here reflects that fact.
But in todays's situation, does it still have anything to offer?
There are still many companies offering an exchange service, and I get a constant stream of requests to exchange.
Personally, I use it as a very small part of my overall strategy, i.e. I will selectively exchange if I believe it will benefit my site, but the links I have arranged are a small percentage of my total links and a very small percentage of the requests I receive.
So as to limit this topic, I want to stipulate that I am only talking about simple link exchanges between two websites, not three way links, link wheels and other variations on the theme. Also I am not looking for advice on the benefits of one-way linking.