The premise of Exiles is simple - a rag-tag group of superheroes hops around various alternate realities 'fixing' them. The correction of these realities often occurs in unexpected ways - from eating a donut to defending Galactus.
I'm generally not a supporter of alternate reality concepts - it just feels like a writer's desperate arrogance to tamper with someone else's work. Also, in today's commercial atmosphere, each alternate reality storyline seems to spawn infinite spinoffs (Marvel Zombies, 1602, etc).
Exiles, however, is written with such surprising depth that the adventures are less about the clever world construction than they are about the team.
Actually, as a rule of thumb, it seems the more elaborate worlds generally come paired with the weakest stories - the best are simply when the Exiles are forced to confront some of the simplest, most classic, Marvel moments (for example, the origins of the Fantastic Four or the Dark Pheonix saga).
Exiles also maintains a careful balance - for the most part - between the individual stories and the overarching narrative. I vastly prefer episodic adventures than complex storylines in which nothing ever concludes. The mechanic of Exiles fortunately emphasises the former - they show up, they have a mission, they complete it (or not) and move on. The Golden Thread between the adventures is the team itself - although it often changes in construction (something else well-supported by the mechanic) - and their relationship to the mysterious Timebroker who gives them their mission. One extended storyline also includes the 'dark' Exile team - Weapon X - who handle the particularly nasty missions. The reluctant alliance between the two teams - often breaking out into outright violence - is an example of the meta-narrative done correctly. Although easily digested in the bite-sized pieces of an individual mission, its full impact isn't realised in a single (or even a dozen) story arcs, but, instead, over the course of the entire title. Excellently done.
Although, and I'd be remiss in not mentioning it, kudos for good research. Although the traditional stars of the Marvel Universe make their inevitable appearances (in a wide variety of alternate reality realisations), there's a lot to be said about a team starring Mimic, Sasquatch and Firestar. Plus appearances by Hyperion (I'm a sucker for the original Squadron Supreme), Wendigo and more. The writers clearly love the checkered history of the Marvel Universe, and this shows in their dedication to obscurity.
Addendum: I've just learned that Chris Claremont has come on board Exiles (from TPB 14...). This combination is brilliant - Claremont's first and lasting love has always been dimension-hopping (Excaliber, Sovereign Seven) - and no one can doubt his X-credentials. Well done Exiles, you've kept me for at least another four books...