There are many ways to exfoliate - at home, with a facialist, with a peel, microdermabrasion, etc. The key is to find a regime that works for you, know what you can afford, and will be able to continue.
 
Why exfoliate? Because your skin ages every 28 days, so it is crucial to get that dead skin off. Otherwise, you're wasting time and money on any skincare products you may be using. I compare it to waxing a car without washing it first, or brushing your teeth without the brush. You gotta get that layer of junk off first to get glowing skin.

A few years ago when the economy was good, and I had my nice corporate job, I would alternate acid peels and microdermabrasion treatments at a med-spa. Why a med-spa? Because I found the dermatologist's office to be too sterile and cold, while the usual spa treatments tended to be lots of fluff and not enough substance. My skin has lots of pitted scars, large pores and is tough as nails, so I need a strong hand. When I got laid off, I started doing acid peels at home and an occassional microdermabrasion treatment at the med-spa. In between, I exfoliate my skin with scrubs at home at least 3 times a week, along with detox/clay masks 3-4 times a week. 

HINT: I use any masks prior to showering so I don't make a huge mess in my sink! I just find this saves me aggravation bigtime!

DAILY: In the morning I wash with a creamy cleanser. I don't like all that foam in the morning, I just want to get that layer of yuck off my face. I then use a toner (CRUCIAL!!!). Finally, a light non-sticky moisturizer for the daytime.

At night in the shower I use a foamy cleanser to get rid of any makeup, tone again, apply eye cream and a night cream.

WEEKLY: I use masks at least 3x a week. I use all kinds, depending upon what my skin needs. Sometimes it's a deep clean with a clay mask, sometimes it's a soothing hydrating mask, other times I use a mild enzyme mask. After a clay/detox mask, I use a serum or facial oil to hydrate my super clean skin. I also use scrubs several times a week. I also exfoliate my entire body 2-3x a week with alternating scrubs - sometimes I use salt scrubs, other times sugar scrubs. The salt scrubs have larger grains while sugar scrubs are more finely milled. Again, I use what my skin needs at the time. I have found a new affinity for body scrubs - was never my thing but now I am hooked.

OCCASSIONALLY: I get professional microdermabrasion and/or acid peels. I wish I could go more for these, but, with the great products I use at home, I find my skin 10x better than it was prior to using organic/natural skincare so I don't need to... I have used acid peels at home too (because I am very familiar with them), so I don't recommend unless you've had prior experience professionally, and start at a very low grade. Most quality enzyme masks do the job very well!   

Seriously.... my skin is so much better behaved - which is why I am such an advocate and believer in green beauty products. They work and your skin with love you for it.

If you have very sensitive skin, check with a dermatologist first before beginning any peels or treatments, other than your basic scrubs, etc.