There's link building and link exchanging - two different animals.
A link exchange is were we link to each other, sometimes with a bit of supporting text. If the sites are related (I sell shoes, you sell socks) and the source and target pages are relevant to the actual links then there can be some mutual benefit. But a links page with hundreds of links is a compete waste of time. Google makes it clear: build an interesting and informative t-site that adds value to the visitor. A links page meets none of these criteria.
Link building on the other hand involves building up trust and expertise, contacting and nurturing relationships so that you get others to link to you without the need for an exchange or reciprocal link. They can take monthes to get but are worth their weight in gold.
Use the general rule of thiumb: the easier as link is to obtain the lower the value of that link.
So to answer your question, link building CAN help you ranking but link exchanging probably won't.
Link building and link exchanging has no difference, I've done it for many years for quite a few different sites, and don't recognise a difference.
It's not 'dangerous' as long as you don't engage in untargeted link swaps eg: Google like relevance, so keep it relevant and you'll do fine. I wouldn't advise linking strictly for the search engines, most will list your site as they exist for ranking content, so are unlikely to de-rank you unless you do something very silly like 3-way linking which isn't relevant!
I owned and set up 3 websites, and linked out and in to irrelevant stuff, and never got banned or anything. My links are totally relevant, although I have never linked for search engine purposes and never will - you should always, always link for what the link can do for your visitors!
Link for the visitors
Link to provide information
Don't chase pagerank (it's pointless)
Be careful when designing your links page (Google devalues them)
As long as you keep links on-target, I don't see why Google would ban you. If you're not sure, read Google's guidelines about webmaster linking and you'll be fine.
There's link building and link exchanging - two different animals.
I think what Fisicx is talking about is 'vote linking' although he never explained properly and members need to really explain what their on about or it confuses the web novices. But linking for votes is when I visit a website, link to it by a one-way link, so I'm saying to Google - "I like and recommend this website".
I'd be careful who you listen to on forums, most are kids who think they know it all. They use forums to frighten by giving bad advice in the hope it damages websites hoping to get people banned. There's enough conflicting info about linking without being vindictive.
Basically don't do stupid things link-wise, and you'll be alright.