Yes, Mac OS 10.6 supports Exchange right out of the box, and I use it without any issues. I have set up Entourage '08 but never used it for long enough to form any opinions whether it is better or not. I like how Mail integrates into the OS so much better, so I am probably a little biased.
The cool thing about the Mac, is you can create a PDF from any application. Just click print, and then click and hold on the button that says PDF; there you will find a whole pile of options.