This is a very good point because a link exchange is useless if the link is between unrelated sites or if the link ends up on a link page where it will be penalized with a PageRank of zero.
Originally Posted by Andy101
One of my clients got into link exchanging (against my advice), but saw no difference in the search results. After investigating about 30 links pointed to his site, we found that only one was a valid link posted in the the content in a blog, which is a natural link. The others were all on link pages that had a PageRank of zero or were gray-barred, which rendered the links useless. Many were on link pages that were not linked to from anywhere in the site, so they were not even indexed by search engines. Several had nofollow attributes attached to the links.
If you are going to do link exchanges, do it in a smart way. Google is suspicious of links to unrelated sites and does not like link pages. Beware that most people who request link exchanges are going to scam you with a useless link. Most of these guys are looking to gain link juice, while not giving any away themselves.
"Democracy is two wolves and a lamb voting on what to have for lunch. Liberty is a well-armed lamb contesting the vote." -- Benjamin Franklin