When looking to generate “inbound links” to your website, some of the easiest to get are ones where your website links to a website who is linking to you; a reciprocal link. To do this generally requires some sort of communication between the website owners and then an agreement to link to one another.
Since it is difficult to obtain most links from coveted and trustworthy sites, it is easy to get carried away exchanging links with other new or unestablished sites just because of the comparative ease of obtaining the links in link exchanges.
However, be warned, link exchanges are much less effective now than they used to be in the past and they have been known to cancel each other out. A savvy link-exchange campaign can give you one of the best boosts when your site is still new just because many of the other methods of obtaining links are just too tough for new sites to pull off.
If you do use link building as a way of boosting your websites’ SEO credibility, only do exchanges with websites in your market/sector that are reputable and trustworthy. Refrain from interlinking with other unestablished sites because more often than not you will just end up in bad link neighbourhoods which can actually cause you SEO damage instead of benefit.
Like any sort of online marketing activity involving links to your website, my advice is to seek help from someone professional who has experience of running these types of campaigns and use a combination of initiatives to give you the right balance.