I find few Webmaster those having multiple sites try to build up one of their specific sites by offering link exchanges from their other sites. By the way the problem may start if your two sites are not connected and they are primarily working to benefit the link popularity of their main site then it does not really hurt them if the site linking to you gets banned. If those sites get banned then they pass no link popularity to you. It all depends on your individual skills that how you do it smartly.
Yep, quite a lot of sites get penalized for 3 way links as they are blatant Spam because they are used solely to deceive search engines (black hat if you think about it) by disguising themselves as 1 one-way links
Reciprocal links are no where near as powerful, but still give pluses (when linking to the right websites) and are not Spam because you could share traffic.
One-way links are the daddy of all links, like gold dust in the industry. Used when webmasters want to show there visitors a useful site, so therefore providing the best user experience, therefore given the most weight in rankings