Technically, the word exotic means not native to a given area. Exotic pets, however, are defined not by where they come from but by the fact that they are not domesticated and often belong to species that are endangered in the wild. Keeping them as household pets rarely ends well, and worse still, encourages a trade in these animals that reduces their population. This in turn often encourages poaching to fuel that demand, since legal means of supply usually cannot.
For example, you have probably seen many cute videos on the internet of slow lorises being played with and tickled. These big-eyed primates from southeast Asia are in hot demand by the exotic pet industry, especially in China and Japan, where the laws governing animal trade are relatively lax. However, these lorises are not bred in captivity, but taken from their rainforest homes. Furthermore, the slow loris is unique among primates in that it is "venomous" after a fashion; it secretes a chemical from glands on its wrists which it mixes with its saliva to give it a toxic bite. Pet lorises must therefore have their sharp front teeth painfully removed.
Another issue comes when exotic pets' owners decide they can no longer afford to care for them. Often this results in the animals being turned loose far from their native land. In some cases, the newcomers have managed to fit in quite well with the local ecosystem, but in others--such as the infamous pythons of the Florida Everglades-- they have all but taken over.
The obvious thing you can do about this phenomenon is to simply not buy exotic pets. It may look impressive to have an endangered macaw in your living room, . But unless you really think you can care for a bird that can live for seventy years, is intelligent enough to get bored and escape, and costs thousands of dollars to feed, you're probably better off with a canary.

A slow loris peers out of a cage at a pet store. With seemingly no end to the demand for exotic pets like lorises, prospective pet owners should be advised against falling for the allure of such animals.