I won't lecture you on link exchanges and search engine optimization. Instead, I'll tell you one way to fish for more work (and possibly end the link exchange requests).
I received this email the other day:
We sell health products at [a vitamin site] and are interested in exchanging links with your website.
This email is NOT sp/\m. It only ever gets sent to each website once. If this is not the case please let me know.
Rather than deleting it, I decided to write back.
The new social web is adamantly against link exchanges, so much so that search engines like Google and Bing recognize link swaps that don't appear to make sense (e.g., I don't write about vitamins, supplements, or even health with the rare exception, so why would we link to each other?) – and worse, they penalize sites for such exchanges, sometimes even de-listing them entirely.
I am available to help better optimize your site for search engines and improve the usability on your site, if you are in need of such services. Please see this page for a description of what I do and a current portfolio.
I'll let you know if they take me up on the offer. Cuz that'd actually be pretty cool.