Yea, link exchanges are the pitts. Stick to exchanges from cap webmasters and you shouldn’t have a problem. I am so over the sorry scrubs that I agree to do a link exchange and then check it in a couple of weeks to find it taken down. I mean you have to be a real piece of shit to be this underhanded.
One thing you might consider is a phpld directory script. Most have a function where you can send a spider out to check if your link is still on that page, and if its not it will automatically disable their link on your site. Perhaps someone else can chime in and let us know how that function works. There are a lot of people on CAP with directories. You can spend about $100-$200 for someone to customize it to get the look and feel of your website and its super easy to manage.