While there is considerable attention on sponsored search and the underlying auctions that power ads on the Internet, there is much less attention on how display ads are placed on websites. In particular, increasingly, display ads are transacted via two-sided markets (aka an exchanges) that bring online publishers and online advertisers together in real time. In this talk, I will present an overview of some of the issues involved in designing such exchanges. The issues lead to open problems in auction theory, optimization, and cryptography.