I exchanged emails with a native Spanish speaker for about a year-and-a-half. I found it really helpful to improve my writing as well as use the language in that drafting a longer email gave me time to look up words, formulate sentences, etc. It was great and I learned a lot about her country and culture. 

Note: Native speakers also use the word "pen pal" when talking about someone with whom we exchange letters through the mail.

I'm not yet experiencing that kind of penfriend. But due to the modernization now, I experienced sending and receiving messages from different country thru emails. It has a big advantage for me because the way you exchange each messages is very easy now unlike letters, (this is just my opinion) you need to wait for days before you've got a response from a friend who's from another country. And, a penfriend does not improve your speaking skills, but it improves your writing skills.

Although, I find penfriend as exciting. :)