Generally, two individuals have to "look at each other" in order to "exchange looks."
"To look at each other" is a neutral statement of act. When A looks at B, and B looks at B, they are looking at each other (お互いを見る)
"To exchange looks" goes a step further. In addition to physically looking at each other, when A and B exchange looks, it is implied that they are communicating some common understanding/knowledge/agreement by the looks on their face without expressing their thoughts out loud.
For example, A and B both know that C is a very boastful person. When C predictably starts to tell tall tales about how smart he is, A and B may "exchange (knowing) looks," acknowledging, for example, their common dislike of C through their facial expressions, without saying anything verbally.
I hope this was helpful!