A large fraction of display ads that we see on the Internet are sold via auctions in ad exchanges. With many ad exchanges having switched to the first price auction format, many interesting challenges emerge. This talk will present some open problems in the display ads market place and the opportunities for theoretically modeling and studying them. Themes include providing tools to bidders for bidding in a first price auction, thinking about reserve pricing in repeated first price auctions, navigating the multi-call phenomenon in the market place etc.