I tend to receive quite a number of link exchange emails even with filters set up on my email accounts.
Every now and then, I’ll actually read one (some are quite entertaining), but never act upon them. I don’t do link exchanges for the sake of exchanging links.
I’m amazed at the format and content of the link exchange requests and their asinine suggestion that they’ve reviewed my site and that it’s closely related to a site that they’re promoting and trying to increase the PageRank of.

Link exchanges happen naturally. And some times unknowingly.
Ever find yourself working your tail off obtaining inbound links only to find yourself outranked by sites with less backlinks?
Congratulations! You’ve done all of your research and taken the time to create the type of content that will eventually attract links all on its own.