I've talked to a lot of people who do link exchanges, and they do a lot of them, but surprisingly most of the people I talked to do link exchanges trying to get traffic. I think link exchanges are more useful for SEO, and you can't make link exchanges useful for SEO unless you know are aware you are doing it for SEO (as in, link exchanges help with SEO, but it helps more if you are aware it helps with SEO). If you are aware, then you can choose the anchor text in order to promote the keywords you want to rank highly in. I'm doing quite a bit of link exchanges right now, and I'm making sure that each link has the keyword I'm targeting in it.
How are you collecting link exchanges? Are you a member of any kind of link exchange organization? A lot of traffic can come from just link exchanges and sometimes (often if you do it right) you can get more traffic from link exchanges than from search engines.
DirkFirst Tutorials | Linux Forum
When I do link exchanges I don't worry about traffic, only about SEO. I do link exchanges by starting threads on forums, especially webmaster forums, and also searching for sites similar to mine and asking them if they'll do an exchange.
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