Is link exchange still effective? Several years ago, this was all you had to do to get high rankings and high PR. Is it still worth spending time to exchange links or we should just forget about it?
Link exchanging is very hard simply because contacting and convincing qualified webmasters is nearly impossible. It does work though if you can break past those barriers.
There are also link schemes you can use that can be an advantage too. Link Vault or the Coop network both offer simple solutions for link exchanging. There are disadvantages too such as placement on irrelevent sites.
I still do link exchanges with related sites. That is what made my site as popular as it is, so I fully believe in it.
I can't be bothered with link exchanges. Theres only a point in getting links from sites in the same niche as yours with good pagerank (at least 1), but they usually ask for payment (which isn't worth it some of the time)
Link exchanges still work, but its hard to find the right webmaster. If your site is about an obscure topic, there may only be a few sites with a similar topic and they might not want to exchnage links because it could cause them to lose traffic to your site. Theres much more competition for traffic nowadays
I still do link exchanges with related sites. That is what made my site as popular as it is, so I fully believe in it.
You can't really rely on link backs alone to make your site popular. Maybe it was the fact that you have a good site/good content that made it popular 
They're not worh the time and effort. Google can tell its not a natural link when it finds there is a link coming from both sites to each other.
Is link exchange still effective? Several years ago, this was all you had to do to get high rankings and high PR. Is it still worth spending time to exchange links or we should just forget about it?
Yes they are still effective.
People now use HTML with banners so that they can redirect them to a website.