Well, I entered my exchange details during initial set-up and after my first attempt was unsuccessful (SSL needed and is off by default) it than worked. Asked me if I wanted to sync Mail, Calender and Contacts all of which I selected. After the rest of the setup had finished the phone told me I had a new e-mail arrive so I could tell it was working straight away.
Mail is fantastic. Downloads everything fine, has at least as many options as WM for choosing which messages to download. E-mails look great on the display and html e-mails show up fine.
Contacts are great, they all appear straight away in the people and the phone application. All the Facebook and Flikr integration works perfectly. Only niggle is that you can't group contacts by company which is something I used to do on WM.
Calender seems to work fine. Appointments showed up ok, including appointments sent by e-mail.
All in all, the exchange sync is way better than expected and in some ways better than WM. The integration seems very deep and integral to the OS rather than a bolt on feature.