What roles do exchange particles play in an interaction?

The exchange particles you are talking about are probably the gauge bosons. They are elementary bosons, meaning that they are elementary particles making part of the standard model and they have integer spin. There are four of them: The photon, the gluon, the W+ and W- bosons and the Z boson. The photon basically is the particle of light being an excitation, if you will, of the electromagnetic field so that is mediates the electromagnetic force. The only thing that differs from long range photons (light) is that they are what is called virtual photons but that is for another subject. Then you have the gluons that come in 8 varieties and their role is to interchange the color charge in between quarks so that it mediates the strong nuclear force, the force that keeps quarks bounded into protons. And then finally there are the W+, W- and Z bosons that mediates this time, the weak nulear force, the force that allows protons to coexist in the nucleus of atoms with neutrons. I hope that helped you, but as i usually do, i tried to simplify my answer beacause i could have written a lot mor about that!