You have the ability to Rebel against your King.
In order to rebel you can do a couple things.
1. PM me before the end of the turn and tell me you wish not to send your tax owed to the King; this is public and will be noticed right away.
2. Send your after-tax funds to a person who wants to fight the King for you. This will be secret.
3. Attack the King with your troops; the simplest form of revolt.
And various other game mechanics.
Exile is when your territories are all taken over and you have no land left. For 2/2 you can colonize a new capital; there will be a basic castle there with no benefits; to get the benefits you will be required to spend another 2/2. This can be funded by another player and can only be used if you lose all land and still have one heir under your control.