Link exchanges can be good, its as simple as that, for example if you have a local business website and do a small number of link exchanges with other sites in your area that will actually be of benefit to your visitors then you are providing a service to them a good user experience. Google likes links from local sights even it is in the form of a link exchange, so long as it is a very small number.
If however you use multiple link exchanges with no relevancy and just for SEO then no its worthless and may hurt your site. My opinion.