Realistically, you should be able to take a Martial Weapon and do one of the following to it:

-Increase the damage one die-step (e.g. 1d6 to 1d8)
-Increase the critical threat range by one (e.g. 20/x2 to 19-20/x2)
-Increase the critical threat multiplier by one (e.g. 20/x3 to 20/x4)
-Give it some sort of unique method of use (e.g. the Whip, Bolas, or Shuriken)
-Make it a double-weapon (e.g. the Halfling Rapier-Flail, one head being treated as a Rapier and the other being treated as a Flail)

However, the creation of an Exotic Weapon is essentially up to your DM. He might agree to let you, he might not. Exotic Weapons are nice enough, but you won't really be able to drag too much out of them. If you were really convincing your DM might allow you to get away with two of the above, but I wouldn't count on it.