As any iPhone user knows there aren't really any good options for syncing tasks to the iPhone.  OmniFocus will let you manage tasks on the iPhone and store them on a WebDAV server (which Exchange technically is) but it doesn't sync with Exchange.  It just uses WebDAV as it's storage medium if you don't have a MobileMe account so we'll knock that one off the list.  Enter KeyTasks.

KeyTasks let's you sync your tasks from Outlook (more on that in a second) to your iPhone wirelessly, over the air just like Mail/Contacts/Calendar - well sort of.  The catch is you have to run an agent on your desktop to pull the tasks from Outlook (and therefore from Exchange) which then pushes those tasks to Chapura's servers for storage then your iPhone grabs it from there.  They claim that the entire process is encrypted which I verified by doing a network packet capture just to be sure.  Being very anti-cloud storage as I am (for company data mind you) this was key for me. 

So far it seems to work well.  There are a few limitations (first being that you must have a machine logged in somewhere to do the sync), you're limited to 750 tasks (if you've got more than that, well, you may have other issues...) and you have to choose the sync interval on your PC (but after that it happens automatically) and manually sync on the device.  None of these are real deal breakers for most as tasks tend to be much more static than other PIM data.  Hopefully soon they (or someone) will start pulling/pushing the data directly to the Exchange server like my tried and true Dash does.

At $9.99 (per year) it's pretty cost effective too.  So if you're looking for a way to get your Outlook/Exchange tasks on your iPhone take a look at KeyTasks, it may be just what you're looking for.