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If it's something you make money from I'd say yes. Many probably won't mind as long as it's not adult related.
But I really don't see the point in having an exit link of any kind. Google (what most people use) has enough traffic, and if it's an affiliate link of some sort the chances of making a sale have to be one in a million.
People know where the back button is if they don't like your site. You should be giving them reasons to stay, not to get out.
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