All cars today have at least one oxygen sensor and many cars have as many as four. 

These sensors measure the amount of oxygen in the exhaust fumes and are monitored by the engines computer.  The computer can change the fuel air mixture to maximize the engines best fuel economy.  If an oxygen sensor fails to work properly it will turn on the "service engine soon" light.  Another important part of the exhaust system is the catalytic converter.  The converter changes harmful carbon monoxide and hydrocarbons to water vapors and carbon dioxide.  It can also reduce harmful nitrogen oxides.  If the catalytic converter becomes plugged up, it will cause a loss of performance and may also turn on the "service engine" light.  Be sure to always have your vehicle tested as soon as possible if this happens.  The rest of the exhaust system consists of pipes and the muffler.  The muffler does just that, it muffles the sound coming from the combustion in the engine.  It's important to have your exhaust checked for any rust holes, broken hangers or physical damage when your car is regularly serviced.