Country store a mile away has Blue Rhino exchange. The extra cost is offset by not driving 10 miles in each direction to get to the gas station that refills.
And also not having to deal with the pump jockey on duty who doesn't really know what he's doing. I've had some scary refills.
My Home Depot's Amerigas exchange is robotic. 24 hrs open, outside the store. It can't tell what brand of cylinder you are returning. It flips open a door to your new cylinder, you take it out and put your old one in and close the door.
Refills are a little cheaper than exchange, but you can still every once in a while go to the exchange and get a new, certified tank in exchange for the one you have with a few rust spots.