This is what Matt cutt says " If you can't or don't want to vouch for the content of pages you link to from your site — for example, untrusted user comments or guestbook entries — you should nofollow those links. This can discourage spammers from targeting your site, and will help keep your site from inadvertently passing PageRank to bad neighborhoods on the web."
As its a 2 way link - so either Gooogle may take it as reciprocal paid links too.. This is ideal to avoid 'dofollow' links - if the other site links to you too. Why to unnecessarily create confusion to eyes of Google to treat them as unnatural link / spam links
For more see this video:- http://www.youtube.com/watch?feature=player_embedded&v=x4UJS-LFRTU