You didn't tell us the exchange that you are using but in general, I believe It's very normal. Bitcoin transactions are currently expensive with all the unconfirmed transaction we currently have, add to that, the fees that the exchanges take for their services.
I mentioned the website i am using at he second paragraph, the fee is killing and i also checked the fees for btc-e and that is even worse with0.001 btc fees,.
I also aware of so many unconfirmed transactions and i hope btc could get more nodes for faster transactions confirmations.