At home I have a book (A Kind and Just Parent, by William Ayers) in which the author (who taught teen boys in juvenile detention) explains why he encourages them to lift weights, even during school time. He says that by working out with weights, the boys are able to apply effort and see results - and learn, hopefully, that they can change themselves by trying. (At least, that's my vague memory from reading the book a few years ago.)
I often say that exercising, and especially weight-lifting, makes me feel "like a stud." What I really mean is that it increases my self-efficacy. Self-efficacy isn't my own invented concept, and you can read about it elsewhere, but what follows is my own take on it, which is not necessarily quite correctly in line with the original idea.
Self-efficacy is the belief that you can succeed at something through effort. I believe I could get a PhD in mathematics if I tried hard enough, but I don't believe I could ever be good at basketball - I have high self-efficacy in one area and low self-efficacy in the other (regardless of whether I'm correct in my judgments). But what I'm more interested in is self-efficacy in general - to what extent do I believe my results are influenced by my efforts, versus by factors beyond my control?
It seems to me from what I've read [note: this is a hedge to avoid providing references] that instilling self-efficacy (the idea that you can succeed through effort) in your children is much more important than instilling self-esteem (the belief that you're an OK person deep inside). In education, you can reinforce this by telling a kid who's done well on a math test, "You've been working really hard on that, I can tell," rather than, "Wow, you're really good at math." Ideally you would also put your child into situations where their effort really does determine their outcomes - not in situations where they will succeed (or fail) no matter what.
Anyway, I feel like I do increase my own self-efficacy when I exercise, and I bet this is true for most people, at least if they start with some activity they can make a good go at, because typically you make a lot of progress in the beginning of a new activity (especially if you're out of shape to begin with), and it really builds confidence.
I try to control my eating, but even if I have (momentarily) given up on that, and I get into a regular pattern of exercising, I suddenly get the feeling that I can fix my eating habits too, and then I start eating properly. In any given week, there is a high correlation between my exercise and eating habits, and I don't think it's just that I have "more will power" some weeks than others (though this might be true in some way). I really think exercise drives the whole thing for me.
Because it makes me feel like a stud.