Why are you going to use Exchange?
I have to use Exchange because my ancient IT dept at work says that we do, but I would choose an IMAP setup hand and fist above Exchange, personally.
Anyway, to answer your questions, the mail is indeed pushed. I usually get the mail on my phone before I get it through Entourage, but I think that has more to do with that fact that I have Entourage set to check for mail every 5 minutes. Overall, it's a decent experience. I don't use the contacts, calendars, etc.. to their full potential, since I hate Exchange.. but the email works well enough for me to use it. The one thing that does bug me, but this could be my IT dept's settings in Exchange, but emails older than 5 days don't show up on my phone. I can't even use the new 3.0 search to find them. Yet this works just fine via Gmail and MobileMe. So I'm not sure why that is...
Anyway.. good luck.