Em... I have tried link exchange for a while, but it is too time consuming. When you try to contact your niche related site, let's say 10 sites, you might get only 1 response.
Therefore, I better join some forums or post some good comment to create the backlinks.
This is true, you have to work very hard to personalize the emails you send out. Sadly this will only increase your response rate to 20% but I still believe reciprocal is one of the best ways to build backlinks and if you link with related sites, traffic.