How about the GenomicFeatures library?

library(GenomicFeatures)
x= makeTranscriptDbFromUCSC("hg19", tablename="knownGene")
saveFeatures(x, file=paste("hg19", "_ucsc.sqlite", sep=""))
fn = loadFeatures("hg19_ucsc.sqlite")

then you can easily use the exons and transcripts methods to access the information you want if you have the gene identifiers......

genes = c(10772)
names(genes) = "gene_id"
transcripts(fn, vals = genes)

gives you the transcripts for that gene identifier and then you can take those, extract the transcript names and do a similar thing with the exons method.

HTH

For this kind of problems Biomart and the Bioconductor biomaRt package are your friends!

For example if you have "entrezgene" ids for your list of genes and you need the corresponding "ensemble transcript id" related to your genes you can do something like this:

library(biomaRt)
mart <- useMart("ensembl")
mart <- useDataset("hsapiens_gene_ensembl", mart)
att <- listAttributes(mart)
f <- listFilters(mart)
attributes <- c("entrezgene","ensembl_transcript_id")
filters <- "entrezgene"
values <- c(9751,64219,5591,642636,6097,83795) #randomly selected
output <- getBM(attributes=attributes, filters=filters, values=values, mart=mart)

Check all available filters and attributes reported in the att and f variables. For a nice introduction to the package see the associated vignette.

Another solution is to use the geneToTranscript function from the annmap package:

# c & p from the package Vignette
library(annmap)
gene = symbolToGene( c( 'PTEN', 'SHH' ) )
geneToTranscript( gene )

Lets get the exons for the PLEC gene in HG19: http://www.ncbi.nlm.nih.gov/gene?cmd=Retrieve&dopt=full_report&list_uids=5339

library("GenomicFeatures")
library("TxDb.Hsapiens.UCSC.hg19.knownGene")
genome <- TxDb.Hsapiens.UCSC.hg19.knownGene

# the plec gene
plec_gene = genes(genome)[which(genes(genome)$gene_id == 5339),]

# get the exons with the gene coordinates
plec_exons = subsetByOverlaps(exons(genome), plec_gene)

# same for transcripts
plec_t = subsetByOverlaps(transcripts(genome), plec_gene)

That is about it