S.,
I did one years ago. We had 10 people and everyone had to make 10 dozen cookies - you give each participant 1 dozen of the cookies you make, plus one dozen for yourself.
Now, I will say that making 10 dozen cookies is a LOT of work, and honestly, I find it easier just to do my own baking.
I can also tell you that of the 10 dozen cookies I got, only two varieties were any good - some were burnt, some just weren't very good tasting. So if you are going to do a cookie exchange, it would help if you knew that each person you invite has at least one specialty cookie that they do well.
Also, have everyone enter their cookie type before hand, so you don't end up with 9 dozen chocolate chip and one dozen peanut butter.
Some other thoughts:
You could open it up beyond cookies. My mom and I make a great coffee cake in loaf form, so if someone you know makes something similar, why not invite them in.
I wouldn't do any less than 8 or more than 12 participants.
We also had a contest for prettiest cookie and best tasting cookie (judges were not part of the group to prevent bias). But that requires baking some additional cookies for the judges. :-)
Our organizer also collected all the recipes and made a little booklet up for all of us, so those two types of cookies I really liked I now make myself.
I wouldn't let my experience talk you out of doing this - my aunt does one every year and gets amazing treats, including fudge, brownies, and my aunt herself makes truffles.
Good luck!
C.