Yes, it is a good idea to ask permission if you can add a link on your site. If you've only just set up your website and the site that you want to exchange links with is a famous website, then they prefer you to ask permission. This may be mainly because they don't want to tarnish their reputation.

Make sure your website is properly up and running before you ask if you can exchange links with any sites, as they may not wish to include incomplete websites on their links page.

Some sites allow you to become an affiliate. If you wish to be an affiliate of a particular site, then you need to check on their site for information.

Some sites may also want you to add an image link to your site. You could make an image link for your own site, though it is best check that the other site accepts image links rather than just a text link before you exchange with them.