Just because you are linked with many other sites does not automatically give you bonus points. The search engine crawlers become more interested in your site if it sees that the hits you are getting are coming from already high ranking pages. It takes notice in the direct-contact hits that connect the two sites, not just the presence of your information on someone else`s site. (Aaron - I think you said this also)
Google Toolbar has a very handy reference called "PageRank". It shows you the ranking of any page that you view. It is very helpful when trying to find link-sharing sites. You would not want to waste your time linking with a site that has a zero ranking because the chances of someone being on their site to begin with is low. The toolbar is a free download that has many other tools such as language translation and "search this site only".
Hope this fills in the blanks about link exchanging.
Smooth Sailing Bookkeeping
"Taking the stress out of business finances"
North Fort Myers, Florida