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.