What do you guys think about banner exchanges? is it worth it to increase traffic?

They don't work. Doesn't increase traffic. Rather it just moves it arround. Be definition of exchange, you only get back what you put in. If you have no traffic, then you get no return traffic. If you have some traffic then the amount you loose to the exchange will equal or be less than what you get back.

Most exchanges are run by a central site that manages the exchange. Usually they take a small cut of the banners for themselfs. So you actually do worse out the deal than you would if you had the site how you want it.