Why is the exhaust the first part of a car to rust?

Why is the exhaust the first part of a car to rust?
There are a number of reasons.

It is not painted, or covered by a corrosion resistant material, as the height temperatures it is exposed to would tend to burn-off or other wise remove such coatings.

The exhaust gases passing thought it contain corrosive substances such as sulphur oxides (Sulphuric acid) Nitrogen Oxides (Nitric acid) to name a few. Even the use of corrosion resistant coating may not be enough to protect against these, given that chemical reactions are improved with heat (IE the hotter it is, the faster it goes), and exhausts are hot.

Also, one of the products of combustion is water, and water rusts iron/steal, even in the absence of acids.

Other metals could be used, but the additional costs of using stainless steel, or perhaps aluminum, are (one must assume) currently not seen as beneficial by purchasers.
It should also be noted that over time the "sound absorbent" material within the exhaust, normally glass fibre, becomes impregnated with carbon. This means that an exhaust that wound last for ever would still need to be replaced eventually, as is would lose it's sound absorbing properties.