The link exchange has been one of the long standing SEO tools of the webmaster.  Here are a few things you need to know when it comes to link exchange.

Page Authority
Before you exchange a link you need to know the page authority of the web page you will be listed on.  The easiest way to do this is to install the link explorer tool from SEOmoz.  Then go to the page where your site will be listed.  Then compare their number to the number of the page where you will list them. Their number needs to be equal or higher for the exchange to benefit your site.

Anchor Text
Choose anchor text that your site has a chance of getting a number one ranking on.  Do not just choose "search engine optimization" for you anchor text.  You will have little or no chance of getting the #1 listing for this highly competitive term. Choose the city that you are in to add to the anchor text so that you can have less competition and more targeted traffic.

Consistency
You need to use the same anchor text over and over until you have secured the #1 listing.  Changing up your anchor text will only keep you at the bottom of the SERPs.