On my Droid X, under the account settings, there are three check boxes that enable sync for calendar, contacts and mail. Make sure that all three are checked. I have had no problems syncing contacts/calendars. They only problem I have had is trying to make sure I keep the information appropriate to the respective exchange account. But it's not a problem.

Edit- FYI, calendar and contact sync are only available through Exchange (without 3rd party tools).