It would probably be better to look for sites that are similar to yours and DON'T have a link exchange, and then just ask if they want to swap links.

Or, better yet, have GREAT content that they will want to link to, and ask them to link to your content.

The better your content is, the more they will want to link to your site.

Google 'link exchange' and there are plenty of communities out there for what you propose.

Expect...

(a) the majority of sites to be crud, and
(b) those that you might want to exchange with already linking willy nilly to the crud,

and then you won't be disappointed.

Better to get your own network going.

Thanks, I was unsure if there was already ones doing this.

One other thing I should mention.

I have seen lots of "resources" pages put together by highly knowledgeable people.

For example, if you really love accounting, then you would create a page with really, really good resources for accountants, with links to other HIGH QUALITY sites. (Avoid sites with adsense on them.)

That type of page will attract lots of links naturally. I have seen many of them on sites where the owner of the site seems to have no knowledge of SEO, and they appear to have lots of KILLER natural links.

Now, there are benefits (lots of natural incoming links probably means lots of trust / authority signals for your site), but having lots of outgoing links means the Page Rank you get will be spread out to all those outbound links (instead of going exclusively to your site).

But I think it is worth it.

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I don't normally like to say, "so and so does this," but in this case, I will make an exception. The very talented netmeg, who is smarter than you and I combined, has noted that often times she will link out "liberally" to authoritative sites in her niche.

She mentioned that after a while, some of them will link back. She theorized that maybe they were looking through their traffic logs, noticed that some traffic was coming from her site, and then decided to return the favor.

I have lots of good content, but trade in a mature market and find it nigh-on impossible to get incoming links these days!

It would be good to have a system where instead of 3 ways links, the participating websites joined a group and traded "points" like a currency on complementary websites. But instead of any money changing hands, you can only earn points by giving links on one of your sites. Years ago we belonged to something similar and it worked well but was structured slightly differently.