Harlequins are sort of an Eldar cult that worships the only surviving Eldar god(except Khaine), Cegorath(sp?) the Laughing God, the Great Fool, the Great Jester.
The harlequins are traviling bands of eldar preformers, really, they make no distinction between battle and dancing. Its all a preformance to them.
It can help to think of them as 40k wardancers...sort of.
The Exodites are the eldar that lives on planets instead of on craftworlds. The Exodites lives mostly on Maiden worlds(worlds created by the Eldar). Unlike the Craftworld eldar they do not follow the paths. They are given one path at birth and follows it through out their whole life. They generally use simpler technology than the regular eldar and has little access to the complex warmachines. Instead they use various animals refered to as "dragons" as riding animals.