There are quite a few link-exchange services around. The theory is that the more incoming links you have the higher your Page Ranking but the truth is that it is only when really popular sites choose to link to yours that anything much happens to your Page Ranking!
It is also becoming increasingly important to search engines that sites should
have relevant links to be considered noteworthy and content is fast
becoming so important that you will only get high ranking sites to link to yours
if the quality of your content is likely to enhance their own standing.
Nonetheless, in principle
and if pleasing search engines and conforming are not your main criteria, there is nothing wrong with exchanging links to random websites on your site for a link to your website on their link lists, if you want to do that - but be wary of putting too many links on a page -
most search engines consider it a form of cheating (which, in essence, one might say it is) and will penalise you accordingly.
Also be wary of being identified with 'dodgy' sites if your reputation is
important to you.
The banner exchange is a better idea because you are only exchanging one banner on your page for the opportunity to have one of your banners on someone else's page.
Having said that, we have had some grim experiences with our choices being
ignored and gambling sites, for example, being advertised on our sites, which
has caused us to remove quite a few links over time.
Still, if you
do want to be on some interminable list and keep a similar list on your own site in exchange, any of the following will oblige:
Webmaster Link Exchange: A Free Web Link Exchange Directory where Webmasters go to trade links with other webmasters...
FreeAddURL.org is another such link-exchanging service that seems to be reasonably well organised.
technically allows you to pick and choose the sites you are linked to and weed out any that are nor suitable for your website or the visitors you expect to have i.e. you can block any site or category of site, not just 'adult' sites.
You can easily find more if you surf around the Internet a little. Just remember that, in the end, with Google and all the other top-end search engines: CONTENT IS KING!