Has anyone synced iPhone 2.0 with Exchange yet? I'm wondering how it is working, if it supports color categories, etc.
You didn't specify if you meant over ActiveSync or through iTunes so this may not be the answer you are looking for but might provide a hint.
I normally sync with iCal on my Mac at home. In the past I tried syncing my Outlook Exchange Calendar through iTunes on my PC at work. It creeated a huge mess.
Today after I upgraded to iTunes 7.7 I tried syncing again. This time iTunes created additional calendars in Outlook that correspond to each calendar I have in iCal at home and put the appointments in their appropriate calendar.
After I upgraded the iPhone to 2.0, the iPhone now supports multiple calendars so you can display one of the calendars or all of them (doesn't appear you can pick a few of them, works the same as selecting groups in the the contacts app, all of them or one group).
And here is the hint to your question. Each calendar has a color associated with it so the entries are displayed in the color of the calendar to which it belongs. None of my entries are color coded for categories so I haven't checked that but it seems that would conflict with the separate calendar implementation.