I found that OSX Mail didn't work very well with Exchange - in particular it tried to sync all the public folders (this won't be an issue if you are using a hosted service or a company that doesn't store a lot of stuff in the public folders). There are some tricks to stop it doing this, but it just became a pain - so I switched to Entourage. At first I hated Entourage, but after a few months I started to appreciate it and get my head around how to use it - it's certainly grown on me!
You can sync your Address Book and iCal with Exchange either using Entourage as an intermediary, a third party app (
http://www.snerdware.com/) or there is some support built into the Apple apps. Again I didn't find the iCal integration very good, although I do sync the Address Book via Entourage and frequently do a look up in the address book rather than Entourage (the Address Book search is a lot faster).