Exp is exposure compensation. It tells the camera to under or overexpose from what it thinks it should use. I mentioned that briefly in my response to Jeff about overexposure. For example, if you wanted to allow in half as much light, you'd set the Exp value to -1Ev.
Now, there's a caveat there. You're telling the camera to change the exposure, but it gets to decide how it does it. In aperture priority mode, this usually means the shutter will change. So, if your camera is metering darker than you want and you set for, say, F/4.0 and 1/125th of a second at -1Ev, it will probably give you F/4.0 and 1/60th of a second. BIG difference in how the photo will turn out. Especially for smaller cameras though, play around with underexposing a little. I used to always leave my little 2MP Sony on -1/3Ev because it seemed to overexpose everything just a little bit.
-Dylan