At the moment the Exchange server we use at my office isn’t available over the internet in the way it needs to be in order to sync email, contacts, calendar etc. to my WP7 device. Even with the ‘Mango’ update to Windows Phone 7 VPN connectivity is not supported on the phone, so I can’t connect via VPN over the internet from the phone either. This means my work mail only syncs while I’m near the office and connected to the WiFi network. This is actually ok with me, and we’ll probably change the Exchange server configuration later anyway.
However, I recently discovered I can sync my phone to the Exchange server via a VPN if I use a PC as the middle man. For example, I can connect my phone (via cable) to my laptop, and open the VPN connection on the laptop. This will then allow the email app on the phone t connect to the Exchange server and sync.
I believe this needs the Zune software correctly installed on the PC (so that it opens automatically when the phone is connected), but it certainly seems to work fine if that is the case.