I was recently assigned to deploying a sharepoint 3 site to allow people to manage their workflow through sharepoint. One of the things that need to be done is tasks need to synced with the exchange server so that if somone asigns a task via sharepoint it will apear in their tasks folder.
EDIT: I am using Sharepoint Services 3
As far as I know, SharePoint doesn't really sync tasks with Exchange. It does so with Outlook, which then communicates with Exchange.
Using Outlook 2007: From the task list in SharePoint, there's a "Connect to Outlook" option in the Actions menu. Once connected, you get a new header in your task list called "Other tasks" with your task list as an item.
Using Outlook 2003: from what I've gathered, you're pretty much out of luck as tasks don't sync.
You'll want to be sure and give the Advanced Settings for the task list (Settings->List Settings->Advanced Permissions) a look, paying particular attention to "Item-level Permissions". There's no sense in showing everyone connected all tasks. Unless that's what you're looking for, of course.