You are undoubtedly about to get some very sound advice once the bloggers wake up or get home from work or blogging.
I post here only because to me as a newbie your question about what to look out for struck a chord. I basically asked myself the same question.
I can only tell you what I do as a new person to blogging. You will soon receive even better advice on how to find link trades and probably on how to check them out.
The first thing I look for is can I find the link trade section. Doesn't seem to do any good if it can't be found (I could be wrong but I don't think so).
Second thing I look for is content. I am not a link list reviewer or tgp but some content doesn't fit my view on porn and legality or porn and porn.
Last thing I do is to peek under the covers of the blog and look at meta tags and keywords.
I am pretty sure there are even more things that can and should be done but this is where I have started.
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