I've been sending out a lot of "link exchange" e-mails at the moment. It's interesting to see some of the various approaches and attitudes to link exchanges - so I'm going to set out some very simple tips, tricks, and guidelines for webmasters, on how to actually make your link exchange page and program more successful.

1. Link to your link exchange page from somewhere visible. A lot of webmasters will prefer it if you at least link from your main index page as this will help transfer significant PR to it. Also note that link exchange is supposed to help with human visitors as well as searchbots, so a hard to find link exchange page is hardly going to be inviting.
2. DON'T call your link exchange page "Link exchange" or "links". Give it a proper title such as "webmaster resources". It can be very important for SEO purposes to have the page title reflect some relevant theme with the links page.
3. On that issue, don't simply have a single "link exchange"/"webmaster resources" page - separate it into a number of keyworded sub-folders (remember-to-hyphenate-!), each links page given a simple keyword title in H1 tags. Why? Firstly, by having an index page to the topic specific folders, this acts as a "choke" on PR loss for your internal site pages - if you have linked from your main index, or else from every single page, the links page in question will have a respectable PR. If it then links to the subfolders where the actual exchange links are, it helps push a lot of the PR back into your internal pages, as well as letting just enough PR to be quite respectable to flow into the exchange links. And, secondly, keyworded folders and titles help make the exchange links become more relevant - this is especially important for theming issues, which could be notably applicable for many search engines now. You should also make sure that these keyworded folders cover themes and topics that relate fairly closely with the various themes of your site. This means that your link exchanges will be particularly relevant - again, this is an important issue for search engines that use theming - and is also much more helpful for your human traffic, looking for related subjects your own site doesn't necessarily cover. And DON'T FORGET to break up your links pages into manageable sections - Google makes it plain it its webmaster guidelines that pages should always have less than 100 links on them. You should really aim at much less than that, to make your links pages particularly attractive to exchange.
4. DON'T block off your outgoing links by using JavaScript, robots.txt, meta-tags, or by modifying the URLs (such as /jump.php?site.com) - as this will ensure that no one of note will want to exchange links with you, which defeats the entire purpose of a links exchange. And don't think you can get away with doing something like this after you've finished looking for sites to exchange links with - if you do, expect disgruntled webmasters to inform one another and cut-off your own backlinks, again, invalidating all that hard work you put into getting links in the first place.
5. If you exchange links, and find that your links disappears from the site linking to you, don't rush into serving up cold revenge. Before you plan that DDoS attack, simply e-mail the webmaster involved and inquire politely about your link being absent. Simple mistakes and over-sights do happen, especially after a website is updated or the site structure changed. I know I've done it. And once informed, the webmaster involved has no excuse to not update the pages - unless some specific reason is given. And, if no reason is given, if no response is made, then there's nothing stopping you from informing the other webmasters of the bad link on that page - and then asking them about setting up a link exchange with your own site instead.
6. Some webmasters are obsessed with PR. They won't link back unless you have a high PR links page. Really, these people have mixed up their priorities. 100 low PR backlinks from 100 related-theme sites from 100 different IP blocks are worth far in an expert system (cf, Google Update: Yorkshire) than a single high PR backlink from a single site page. True, high PR is a great badge to wear, but really today's SEO is about theming and on-topic links. Worry about PR after you've worried about themed links.
7. I was surprised to be told by one particular directory that they do not accept backlinks from pages that have a "?" in the URL. Please note that many search engines are happy to spider dynamic URLs. Especially Google - and that's the search engine you really need to watch for (certainly at the time of writing). The main concern to watch for is the use of session IDs in dynamic URLs, as these can stop search engine spiders flat. But do note that dymanic pages are not always sometimes associated with session IDs, and where they are, there is often a code modification to allow search engine spiders access to the pages without session IDs. A question mark in a link exchange page's URL is not therefore equivalent to a question mark over the SEO usefulness of that page – we're in the 21st century now.
8. I even saw one website stating quite implicitly that they do not accept backlinks from pages that are anything other than .html or .htm. Let me clear something clearly for you all - other page extensions can be happily indexed by any respectable search engine: .php .asp and .jsp, for example, are in themselves perfectly valid and spiderable page extensions. Just remember to disable sessions IDs for dynamic pages for specified search bots, if applicable.
9. At the end of the day, a link exchange program makes for a good tactic in the overall drive towards search engine optimisation and driving human traffic to your site. HOWEVER, by itself it's not going to bring outstanding results. The advantages are significant, but are still limited. Really, you still need to make sure that you get far more sites linking in to you than you linking out to them. For more details, check out the SEO lab article on Link Exchange Programs.
10. Link exchanges are a frustrating and tiring process. Most webmasters won't reply back, and even fewer still will agree with an exchange. Don't be disheartened, though - at the end of the day, as Tom Lehrer once said: "Life is like a sewer. What you get out of it, depends on what you put into it." Link exchange programs are no different.