Well 2 things...
That sounds like the new Web 2.0 version of the link exchange request. I get them all the time. Instead of asking for a link directly which people are tired of and these days mainly ignore, they make it sound like they just like your blog so much they want to link to it. They make it sound like a one way and compliment you. Then if you say yes and tell them the anchor text, then stage 2 is they tell you they expect a link back or ask for a link back.
Not saying this is a pro link request like the scenario above,
just saying lots of companies are doing it that way.
Sorta like if you want a back rub from your wife, instead of saying honey will you rub my back and possibly getting turned down, you say "honey you look like you've had a really rough day, how about if I give you a back rub?" Then she thinks you are such a nice guy and is happy to reciprocate or feels obligated to.
All that said though, if your blog is brand new and theirs is a
PR 3 and not direct competition, seems like you would be on the winning end of the proposition, like gina said.