Link exchanges can be bad, in fact Google does not like it when sites use link exchange
'schemes' as they call them, any more. Here it is right from the horse's mouth.
Link schemes - Google Webmaster Help Center
"do you want to keep links quite relevant to your site?"
Yes definitely. Unrelated links don't do you much good at all.
One way natural links are best. Meaning someone has a related site
and they link to you because your content is good. That's natural!
Short of that ways to get related one way links are from forum posts (your sig) social networks and commenting on related blogs. Not spamming but adding valuable comments on other blogs can not
only get you a one-way link, but also some clicks and actual traffic.
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