Do the search engines give any credence to exchanging links?

Well, this depends on who you listen to.  Some search engine optimizers will tell you that you’re wasting your time with reciprocal linking strategies since backlinks (meaning one way links) are king.  Others will tell you that reciprocal linking is a thing of the past and then there are those who suggest it’s about striking a balance.

So, why link to other websites in the first place?