After Reading From Many Web master Its Worthy if Done properly and Considering A Quality factor in mind ..
Do not spend much time with exchanging links, If you found a Site of your niche the you may do it, otherwise, in my opinion, it’s not worth it at all.
One more thing is there
"May you found A website that only offers Link Exchange scheme for all (At time When you placed Link their may that time Its good from relevancy and Quality but After A Week or Month or year later It becomes A Link Farm like Structure , in that case ", A Serious Damage for Your website " So be Sure places Where you Left your Link will be posses to that quality in future too .