These type of links are very useful to build the rankings of your site. They are as of much value as one way links but still have a place in the overall internet marketing puzzle. These type of links are setup thru an exchange between two web sites. You link to them and they link to you. These are usually placed on a Link or Resources page of your website. Make sure that you keep these links relative to the content on your site. For instance if you own a travel site then a site that sells luggage would be a good match. They are not a competitor but luggage is certainly related to travel.