I would like to raise the question on link exchange to gather all the most important advices on this matter! What useful instructions would you recommend to follow when performing link exchange procedure for a website? Personally I would like to do link exchange with topic related websites only and pay the special attention to website page rank! Also, I put different key phrases which exist at my website into external and internal link text! Also, I use different tittles and descriptions for each website I do link exchange for.

Submit sites in Top ranked directories
Submit Press Releases
Use Forum Signatures
Use existing blogs for linking
Social Bookmarking sites
Create Squidoo Lenses/ Hub pages profile

Yes, all advices seem to be good! However forum signatures are not related to link exchange!

A good way to be recignized by major search engines is to get included in Dmoz,Dmoz is the largest human edited website index on the Internet,Serch-engines generally Like this inclusion.
But Its difficult to Get It,remember the Dmoz editors are really strict,
Try not the include adds in your homepage,when you submit and try to keep It that way for some time,atleast till you get In.

It's more effective, albeit more difficult, to get inbound links from other high quality sites than to do an exchange. One way links get more weight in the eyes of the search engines.