I've found lending out BTC on Bitfinex to be easy and apparently risk-free (as far as that's possible). Bitfinex provide "total return swaps" - basically the lender sets a rate, amount and duration (say: 0.0055%, 1 BTC, 2 days) and waits for a borrower to accept (or the lender can set a rate that a borrower has already demanded).
Bitfinex cover the counterparty risk - the borrower is borrowing on margin, and Bitfinex will do a margin call if the borrower's position approaches the point beyond which they could pay you back.
Obviously there's still exchange risk - Bitfinex currently seem pretty solid, but the usual rules apply: spread your risk, keep on top of information about exchanges you're dealing with, etc.
I don't know what rates to expect elsewhere (I suspect rates probably are better elsewhere) but the 0.0055% rate seems to be the long-term trend. It's still better than the 0% rate I was getting before I moved (some of) my coins to Bitfinex! (And I've been luck so far and always managed to get better than 0.0055%).
(No connection with Bitfinex except as a satisfied customer).
Yeah, that's the catch -- does the interest rate on BTC swaps justify the exchange risk?
To me, having money on the exchange is for trading, because the potential returns are much, much higher. If BTC swaps could compete with USD swaps, return-wise, I would consider lending on BFX.
