Really depends on the type of site you have....as surfn said, No Exit link on some would be ok, and others you would definitely want to have it. As GG mentioned about the referral code, some who seem to like counting the number of ads in a site will count it as an ad.
I used to use an exit link to an affiliate product, but to be honest, its wasted use of space because I doubt there is really enough peeps who click on Exit anyways. If they got to your site, they were probably already surfing porn anyways.
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