Link exchange is most important to obtain high PR to your site. Each incoming link to your web site can be considered as a vote. The more votes your web site achieves, it will get more importance from Google $ other major search engines .
After your web site has been assessed for the number of incoming links Google will assign a value, called Page Rank (PR), to the web pages on your web site. Higher PR indicating more importance.
During reciprocal link exchange you should try to exchange link with high pr site which will certainly get more Traffic in Your Website.