Exchanging links with other websites is a strategic way to gain link popularity, Traffic, and page rank, you can start exchanging links easy from posting link exchange requests in the forums, join link exchange club services that some websites provide for free to even write an email to webmasters of the website you visit and like to have it as a link exchange partner.

But why you should be careful of whom you exchange links with?

The webmaster of any website that you exchange the link with, my add your link to a page hosted in his hosting account and send you the link to that page or submit it to any link checker in any exchange club services as a prove that the exchange went smooth, but the question you need toi ask your self is if that page is linked from his website??? If yes you are fine if no then you really did not do a safe link exchange, because

1- the traffic "visitors" that your link exchange partner gets will not find the page that your link is posted at if it is not linked from any of his pages, so that mean all the traffic your partner gets will not get to visit your website, and that is not fair

2- the robots, crawlers of any search engine will not find that page when they start to crewel your link exchange partner's website  and that mean you lose when it comes to link popularity and page rank,

So before you add any link from some one in your website, you need to find out if the page your link will be hosted is linked from other pages of your future partner. Or your link will be in a isolated page no one can find it or see it.