This is great! I wonder how much the presenters country - the Netherlands - has made this easier with the peering. It’s hard for me to imagine just asking big serious networks to patch you in down here in Switzerland is likely to fly.
Better? No, almost never. Cheaper? Sometimes, especially in DCs that charge ridiculous MRCs for cross-connects. For a small/personal ASN, it can be the right choice.
But if you’ve only ever read about BGP and this is your first time putting it into practice, an exchange seems like the easier way to gain the practice. Most of them have simple rules that you can read in advance, and often your first port is free.
If you can't get into Nikhef, you can become a member of Coloclue. One of their data centers has Frys-IX indoors, and members can get an XC there.
Peering… really depends on where you are, it hasn't been a problem for us.
That said, Init7 is, for the time being, still a scaled-up mini ISP. They're slowly devolving into corporate-dom, but not there yet.