A new linear scaling method for computation of the Cartesian Gaussian-based Hartree-Fock exchange matrix is described, which employs a method numerically equivalent to standard direct SCF, and which does not enforce locality of the density matrix. With a previously described method for computing the Coulomb matrix [J. Chem. Phys. 106, 5526 (1997)], linear scaling incremental Fock builds are demonstrated for the first time, Microhartree accuracy and linear scaling are achieved for restricted Hartree-Fock calculations on sequences of water clusters and polyglycine alpha-helices with the 3-21G and 6-31G basis sets. Eightfold speedups are found relative to our previous method. For systems with a small ionization potential, such as graphitic sheets, the method naturally reverts to the expected quadratic behavior. Also, benchmark 3-21G calculations attaining microhartree accuracy are reported for the P53 tetramerization monomer involving 698 atoms and 3836 basis functions.