If you want to understand ad technology in general, go read Mike on Ads, a blog by Mike Nolet of Rightmedia. He’s currently in the midst of a muli-part series about ad servers and exchanges.
He makes the very salient point that ad exchanges are basically ad servers. So how did ad exchanges come about? Basically because a gazillion ad servers get called every time a page loads, and ad exchanges help lower the time it takes for that to happen by making all the players go through it instead of being called individually.
They provide the raceway for the ad algorithms to compete against each other and make their decisions, which in turn leads to a more efficient decision making framework.
