Link Exchanges are NOT good for increasing your SERPs, and Google even frowns upon them: Link schemes
While some choose to do keyword research, link building, etc. I don't believe it is a wise time investment.
As I mentioned before, networking is *the* most important aspect of internet marketing, IMO. Some do it through blog comments, as Meg mentioned above, others do it through forum posting, like here in the Pavlina Forums, for example, along with a combination of other ideas and these.