In The Matrix Revolutions, we are introduced to The Trainman, a mysterious exile that works for The Merovingian. He created and operates the Mobil Avenue, a sort of "bubble" Matrix that runs outside the normal Matrix, where he is "God".
Through Mobil Avenue, exile programs can be smuggled into The Matrix, and programs due to be deleted can be smuggled out. It's easy to imagine something being put into The Matrix. It's much more difficult to imagine something getting out if it doesn't have somewhere to go, such as a physical body.
In the case of Smith (who got out in a different but similar fashion), he took over the body of an actual human. But in the case of exile programs getting out, where do they go? What do they expect to happen after they get out? Is this ever discussed in any material, or by the Wachowskis elsewhere?