I agree with Dave in that link exchanges should only be a small part of your web promotion strategy.
You'll probably get dozens if not hundreds of link exchange requests as time goes by. Some will be from automated software some will be from spammers, and some will be from actual legitimate site owners.
If you want to make link exchanging part of your site promotional stategy, you'll need to sift through all those to find which are the "good" links and which are the ones you want to stay away from.
I generally delete all link exchange requests that get sent to my email as spam (because so many of them are).
To me, the best links are given naturally and are one way. However, that doesn't happen much anymore. But if you see a site you like and more importantly, a site you think your visitors will like, why not just link to it. If you send them traffic, they may end up linking back to you on their own.
You do need to get some initial links to your site because that's how many of the search engines find new sites (by indexing the sites that are already in their database and following the links that are on those sites).
You can try to get into DMOZ.org, pay for a listing at Yahoo (the directory part) if it's in your budget, or you can find other creative ways of getting links to your site.
You should make sure that your site is search engine (and people) friendly before you start finding links because the traffic and new search engine indexing is going to mean nothing if your site isn't ready for the search engine robot (or the people trying to navigate your site).
http://www.t-shirtforums.com/showthread.php?t=1368