More and more research is demonstrating that exercise not only strengthens bone, muscle, and character, it strengthens your mind. In particular, regular exercise greatly increases the capacity for neurogenesis, or the ability to create new neurons (nerve cells) in the brain.
Once upon a time it was thought that neurogenesis in the brain did not occur, but research in the past several years has sown that it does occur, and that regular exercise is a key component. Here is a link to a great piece from the New York Times on the subject. The article also discusses other brain healthy activities and substances, such as chocolate, socialibility, diet, and stress. Check it out.