I find a really good way to do link exchange is offer services of some kind to the site your trying to get a link on. I usually offer a free video promoting their site with 5,000 views and find most are very keen and jump straight on this offer.
This also allows me to add another video to my portfolio, not to mention a link I was trying to get is usually upgraded to a 125x125 advertisment. So my advice is produce quality content for others and you will be rewarded in return.
Anyone got any other good tips to share?