As this post is somewhat straying from the original question here is a current answer to the post, original question answer is at the bottom  ..
Link Exchanges are important and I still use them, but you should not stress out if you dont get a lot at once. In most cases sites like google will look down on getting a lot of links at one time. If its casual, 1 or 2 links a day-week you will be ok. MAKE SURE they are relevant links. Sites related to your content. Google definatly uses your anchor text in your links as keywords for your site, but they also use the keywords on the site that links to you, to classify your site. (e.x. if you have a cartoon site, dont waste time linking w/ cooking sites, link w/ childrens site, your Search engine popularity will rise much quicker and you will get the results you wanted, instead of being confused why you have a PR6 site w/ no one coming to it, or not hitting any of your keywords you wanted. etc... Overall, defn keep trying to get those link exchanges. Write up some articles on your product/service and post a link in there too. A lot of places will publish the article if it is good and that will get you backlinks without the outgoing link in return.
Out of 1000 e-mails you may get 5 people who will actually trade links with you, so that is not the most efficient way to do it uness you have that much time on your hands.
Another way is to add to directories. Follow this link for directories and such searches http://www.inboundlinker.com/
Just some ways of getting links
And of course, for your link exchanges: http://www.MyLinking.com
But since you joined this forum in nov 2003, and in your sig you have a PR/SEO Site, I'm not sure if you are asking this information because you are curious to know how others do it, or because you really dont know how to do it yourself. Either way it really does not matter all that much since my post would be the same both ways
I'm personally curious to see how others get the links also... 
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