In two words - don't bother. They used to be important and played a significant role. Today, however, fewer search engines use this technique.
But if you want to use this method, the key to reciprocal links is very simple - relevance (or semantic congruence).
If you trade links that are highly ranked AND they are relevant to your site, you get value.
Be careful that the links returning are spider friendly.
Buying Links
Google devalues these links. They may even penalizing your site for selling links.
Many major and local online newspapers sell text links, and nobody seems to get hurt for it because the publications rank high PageRank.
If you do try purchased links, find out how they are linking back. Be sure they are relevant to your site's content. And understand how their site is ranked by Google.
Of course Google's policy could be altered anytime, so be warned.
