We’re always saying, basically, “link farms: bad.” And that’s true. Links swapped for the sake of getting links with no consideration of quality or relevance is the unprotected sex of the SEO universe. You do it at your own (considerable) risk. There are, however, a few sites that people join in order to find other sites like theirs that they can evaluate and exchange links with. Google’s Webmaster Guidelines basically say that this is OK as long as you don’t do it “excessively” (see screen shot).
What’s the definition of “excessive”? Ask yourself if you’d be asking for the link were there no such thing as Google. If Google didn’t exist, and you still would have deemed a link with the site to be a positive thing, then go ahead. Otherwise don’t. The problem with even the good link exchange sites is that usually the link juice you’d get from just one high quality site that you approached independently would probably trump five or six links from the other sites participating in the link exchange. So while targeted link exchange sites aren’t necessarily going to ruin your site’s ranking, they’re probably not going to help all that much either.