I'm still in revisions for book #1, so I can't give you personal experience, but from what I've read on agent/industry blogs, exclusives really depend on the agent. Some frown on them, thinking that the writer will get the best deal for them if they're querrying as widely as possible, others want to have the first yay or nay on the project. If you really want a specific agent, and you're ok with giving them that exclusive first bite that s/he is requesting, it's not breaking any "good agent" rules, but you want to make sure that the exclusive is for a specified amount of time.