I have caught dishonest Link Exchangers creating a robots.txt that deny specific bots from even indexing the pages your links are on. So while your link checker validates the link exists it actually never gets spidered by the bots that count.
I have been using http://www.linkmetro.com which is a link exchange community that has many side benefits and a rating system. You can limit what category of requests you will accept. So far I don’t have any complaints and I have been able to garner some decent trafic from the exchanges I have brokered there.
Quality links always are worth the time and trouble, it is not all about how many but more about the quality of the site linking to you and don’t get too hung up on Google PR. I have seen plenty of top ranking sites with a 0 PR.
Sources like http://www.marketleap.com are a better barometer for checking into the link popularity of a site.
Ginette