LM, said it best already, but lemme expound on the search engine portion a bit.
head to google and type in link:
www.sitenamehere.com you'll then see a list of all sites that are linked to the site you put in the search bar. now from what I have always understood the more backlinks you have the higher you rank in the engines, and with google it also helps with your PR.
Link trades = better SE Traffic
now keeping with Google, if your PR is say a 3 or higher, you'll also appear higher in the ranks of the listings, which is why ppl tend to look for PR3's or higher to do trades with, by getting backlinks on high ranking sites you in turn may get a higher CTR from viewers of those sites.
As for traffic leaks, my theroy while working with PHP Nuke has always been as follows:
Surfers will look at my main page first, then in about this order:
1: click on a main story
2: click on one of my navagational links
3: click on a block ad (125 x 125 - 150 x 150 button ad)
4: click on a banner ad on the top
5: click on a text link to another site
With that info, I don't fear the leak, as they have pretty much looked over my site already before they clicked on a text link from what my research is showing.
IMHO recip links are the BEST way to build quick "free" traffic and if your page is good and relitive to the linked site/s you'll also get many return (bookmarked) traffic as well.
-Loki-