If you look at the history of web marketing and search engines, you will see that link exchanges have existed in many forms. The value and utility has continually been refined, and that has been driven primarily by Google. The search engines are no longer in their infancy stage, which means they penalize you if your link exchange goes wrong. So in order to get the highest quality links and to make sure you get a response when you approach someone for a link exchange, there are a few things that you need to keep in mind.
If you are just starting out, then look for other sites in your niche that are also just starting out, or not that much older. Any contacts you have in relevant sites are fair game, so go ahead and give them a shout. The first thing you will do is go to Google and find all the sites that are about the same age as your site. As your website grows, you can take your link exchange efforts to the next level and aim for bigger sites. High PR sites are probably bombarded with link requests, plus they have no real reason to share their links with a PR0 site.
Emailing someone for a link exchange is something that needs to be done tactfully. This is just business, so no need to try to be overly personal about what you want. If you are nervous about saying what you want, then just write the email text and save it for a few days - send it later. Totally stay away from very long emails and always respect the person's time. Do not be intimidated if you want to email the owner of a large site, but do keep in mind they get a lot of emails every day - make yours short. Remember - the shorter, the better. It is always your call, so you can be more informal with others, perhaps, but still there is nothing wrong with being professional with everyone.
Do a sanity check before hitting, send, and make sure include important items such as your URL. Things like this do occur, and it will only create a less than optimal impression. If you need some guidance and inspiration, the net is full of examples and templates for the proper format of business emails. People want to know what is in it for them, and that is why you have to let them know how they will benefit. Just like anything else in IM, you can do link exchanges poorly or with the highest quality standards - it is your call.
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