Starting with Exchange 2007, the good thing about the setup wizard is that it guides you about all the pre-requisites and provides the links from where you can download them from.
However, if you are installing Exchange 2010 on Windows Server 2008 (or R2) box, and if you follow the link provided by the wizard and download the general .Net Framework 3.5 from MS Downloads you are likely to get the error “You must use the Role Management Tool to install or configure Microsoft .Net Framework 3.5” upon installing it.
As the .Net Framework 3.5 is bundled in as a “feature” and you must add it from the Server Manager/Features snap-in (formerly add/remove programs). This should not be only pertinent to Exchange but would be applicable to all other apps that require .Net Framework 3.5)
You can get an evaluation copy here.
Scott Schnoll had a great post on how to install the beta, with all the gotchas and a long list of pre-reqs.
As Exchange 2010 will only run on Windows Server 2008 (64bit only), there were some known issues with the beta version with the Windows Server 2008 R2 (mainly newer builds than 7000), due to PowerShell and WinRM stacks being incompatible. That issues is well discussed here and hopefully those issues are now resolved with the RC.
And here is the system requirements list.