With more and more experts and search engine enthusiasts claiming right way and wrong way to handle link swapping, link exchanging or reciprocal linking!
You can tell something is important when there is more than one name for it! GRIN!
There are also two schools of thought on reasons link swapping.
The first reason for link swapping has always been to carry favour with Search engine rankings. Have a good site with lots of links and this is seen as a good thing and therefore Search Engines will rank you higher.
Sadly, like all things in life, this system can be abused and taken to extreme. Sites are buying in hundreds if not thousands of links trying to "boost" their ranking artificially. This is fine in short term but we are starting to see a fundamental shift in Search Engine algorhythms.
My last article of link swapping , If Content is King, then surely relevance is Queen! explains my personal view of relevant linking which is still follow.
There is now a second and perhaps more disturbing reason for swapping links.
To build a useful link resource or directory for your visitors.
With working with similar themed sites, swap links to build a directory service which can share and drive traffic to sites within it. Some have even claimed this can drive more traffic that a Search engine ranking.