I've never seriously considered taking part in link exchange programmes, for the following reasons:
It's as old as the hills. I expect that all of the search engines are wise to it and have developed measures to detect it.
It looks weird, and wouldn't fit in seamlessly with the content of a website. I do link to things in cases where a user might want to do a bit of further reading elsewhere, or if there are other good reasons for doing so.
So I probably wouldn't do it anyway. The argument about you providing your visitors with an easy way of leaving your site is BS, though; it's not as if, if you don't have links on your site, that they have to stay on your site. For that, there's always the back button and the address bar...