I don’t exchange links, period. Whether a site links to mine is a poor criteria for whether I’m going to link to it. I link to sites which I think will be of value to my readers, whether they link back or not.
If a site is genuine quality then it will naturally attract links without having to ask for them. I think too many webmasters spend far too much time soliciting links rather than making their site worthy of being linked to in the first place.
Who cares whether a site returns your link to them? If the only reason you linked to another site was to get a return link, then you’ve done a disservice to your readers and shouldn’t have linked to that site in the first place. But if you really wanted to recommend the site you linked to, then it was worth linking to them whether they linked back or not.
My longer article on this topic is at http://WebsiteHelpers.com/why-you-didnt-get-link
People might disagree with my philosophy, but then again they’re usually the ones who covet the rankings I’ve already got. My philosophy has been working for me for ten years. (#1, for example, for “good google rankings”). And it not only works, but it works to keep the quality of the web high — rather than the other way around.