Exercise is a very powerful mechanism for improving our cognitive ability i.e. brain power. This means memory, reaction times and tests that measure various quantitative skills.
A recent article at the New York Times discusses tests done with rats on treadmills, but exercise seems to positively affect human brains as well. In fact, exercise and diet might prove extremely useful to mitigate the increasing prevalence of degenerative brain diseases like Alzheimers. In fact, it's been apparent for years that exercise promotes the release of serotonin in the brain, just one aspect of brain chemistry (the "runners high"). Serotonin is known to contribute to mental well-being ("happiness"), so other positive neuro-chemical changes are likely.
The Brain Science podcast listed below is an in depth discussion with a Harvard physician about his work in this area and what strikes me is how much evidence of benefit there is.