As was pointed out in the comment I originally replied to, if you allow your phone to interact with an Exchange server, you end up giving the Exchange admins the ability to do a LOT of things to your phone without your knowledge.
Including, erasing everything saved on the phone.
I am not willing to give up that level of control.
If I'm on call, or if my employer wants to replace my desk phone with a cellular one to make it easier to reach me, or they want me to be able to read and respond to email from my phone, I'm perfectly happy carrying two phones.
But if I'm on my own time and I'm not on call, the work phone goes on a shelf, and it may or may not get turned off in the process.