Definitely useful. It's tried-and-true.

Easiest way to start is to simply contact a handful of site owners who are ranking well for niche related keywords.

You'd be surprised how well this still works.

Link exchanges in the classical sense, with a /links.html page with 100s of links on is a bad idea. It won't help you rank and may get you penalized.

However, there is some benefit to exchanging links in small numbers with really authoritative sites. Try not to create a /links.html page type format and link to them from a different page that they link to you on. If you can link from within content even better. While these won't be as effective as one way links if both sites are strong then there is mutual benefit to be had.

Try to search for sites in the same niche as your own site then contact the owner of the site to see if he or she wants to exchange links with you. The better match the niche of your sites is the more valuable the targeted traffic will be to your site.

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Go to link exchange pool of any forum and exchange link with different peoples.

Link exchange can be helpful only when you have exchange the links with relevant site to your site. And also exchange the links with the site that high page rank that your site. And always go for one way or two way link exchange as it can provide the result. But three way link exchange is not good option and is not effective also.

If u have 5 pr blog then please add your link on high pr and relevant sites or blogs.

Link exchanges are good if you don't try and cheat the SE and make every thing look pleasing and natural to both the human visitors as well as the Search engine visitors.