Good points. A solution would be to give everyone a receipt for their vote, with an anonymous copy that can be put into an exit poll bin. And something equivalent for mail-in voters.
The catch in this is that having proof of voting a particular way makes a voter susceptible to bullying, or gives them the ability to sell their vote. The Wombat Voting system attempts to address this with a public-key approach: http://www.wombat-voting.com/
This is a great idea. Obviously it would have to be implemented properly and would be subject to the some of the same problems exit polls already have (i.e., voters not wanting to participate), but it solves a lot of the other problems neatly.