I stumbled upon this article while surfing the web (which, despite my assertions, is not really exercise). It's a little on the technical side but here's a choice quote:
Our data show that 14 days of exercise increased the rate of acquisition in the Y maze, improved retention of previously ac- quired information, and facilitated reversal learning. The fact that exercise had a positive effect on Y-maze acquisition ... We show for the first time that physical exercise not only promotes the acquisition of a spatial learning task but also is beneficial for the retrieval of spatial reference memory.
It's fascinating how the brain can work like this. We know that exercise helps you sleep and eat better and help your mood in the process, but that it can also help your memory? Now we just need something to help us remember to exercise and we'll be golden.