After combustion takes place there are a lot of exhaust gases left in the cylinder head. How are you supposed to get them out? That is where the exhaust valves come in. While your engine runs the exhaust valves open and close continuously and different speeds depending on the throttle application and how hard the engine has to work. Each time they open the exhaust gases are sucked out through the exhaust manifold and continue out the exhaust pipe on the back of the car. They may burn up or wear overtime but they are also very susceptible to damage if the timing belt or timing breaks. This can result in bent valves. The exhaust manifold gaskets and cylinder head gaskets are often changed at the same time that any work with the valves being done. The valves are made out of metal and designed for very high temperatures that the exhaust gases produce.
There were a handful of valve-less or sleeve valve cars produced in the early days of motoring but for the most part, all cars have intake and exhaust valves. The big change over the years is number that they have per cylinder. The vast majority had just two for most of automotive history; one for intake and one for exhaust. In the early days, some luxury automakers like Stutz and Pierce-Arrow had four-valves per cylinder (that's two for intake and two for exhaust) in their top of the line engines. Brands such as Triumph, Nissan, and Cosworth experimented with four valve heads in the 1970s but the multivalve setup did not become common again until the 1980s and today, nearly every vehicle has four valves per cylinder. There are also some vehicles that may have three or five valves per cylinder depending on the configuration. The exhaust valves can be replaced individually but most often they are replaced as sets.
Changing the exhaust valves is a very important job and it is best to contact a qualified mechanic at a shop that is familiar with your brand of car. Intake valves are an important part of the engine and caution should be taken when installing them. Full instructions would be a long list but please see the brief itemized list below to give you an idea of what to expect when this job is done.