What control / access does the exchange team have over my iphone when using the exchange connector?
From a quick glance at http://www.apple.com/iphone/business/integration/ -- Exchange can set password policies, network access (including VPN), restrictions on use of YouTube and iTunes, prohibit app installs and use of the camera.

More information at: http://manuals.info.apple.com/en_US/Enterprise_Deployment_Guide.pdf

I don't see anything about viewing web history, etc. -- but if you are on a company WiFi they could theoretically see what websites you are viewing.