The cheapest, and one of the best, exercise is walking. I did 5 miles this morning (got soaked mind you) and generally do 30 - 40 miles per per week. I ensure there are plenty of uphill bits as well (what goes up must come down).
4 times a year I do a 'lads' weekend fell walking in the Lakes. We do some fairly challenging stuff (Coledale Round, Newlands Round, Kirk Fell - Great Gable, Blencathra etc). We have a brilliant time meeting up, walking then eating and drinking in the evenings. It is good for the soul and fantastic to be on a mountain top.
Swimming is also good all round exercise - just don't drink the water.