Bugsy's favorite exercise is anything that means he can go crazy 
He has to have his trot in the morning - this appears to be a 'job' of his though. He enjoys it and if he misses it he is borderline obsessive about it.
He has come to love biking and sometimes he runs so fast he is pulling me. He loves to hike, play with other dogs, frisbee, get chased, fetch with his kong ball in a sock toy or air kong football - no tennis balls for him, hunting (on his own in the yard), wrestling with DH, and we play 'find it' hiding a toy in the house and he has to find it.
Whatever exercise he is enjoying is his favorite!