Seems to depend on how you go about exchanging links. If you contact other webmaster here at CAP via PM with a well thought out message, I’ve seen as high as 80% success in exchanging links. If you are searching Google for similar sites and filling out their link request forms, you could be in the 25-30% success range. If you use a link exchange site like Link Metro (I don’t like automated link scripts on my site either) then you can see a 40% or so success rate. These percentages are all approximations.
Also, it can take quite a bit of time sometimes. Many webmasters can take 2-3 months to get to your link request. I’ve seen this in multiple industries, where I take down a link and then a few weeks later get an email from the webmaster saying they couldn’t find their link. Well, yeah, you took 2 months to get around to answering my request.