Tossing a Frisbee and having your dog retrieve it is a great form of exercise. There are also many different types of frisbee on the market making it so much easier to find the one your pet loves.
Join a Training Class.
You can always learn the basics for obedience training in a few short classes, and then work with your dogs on the techniques you have learned at home. If you find that you both really like this kind of activity you can continue on to compete in obedience competitions as well.
Many ball driven dogs simply go crazy for this form of exercise and while there is definite amount of training to do fly ball correctly, many dog clubs offer fly ball for free. Contact your local kennel club for more details.
Tug of War.
Letting your dog yank you around the house while you hold his/her favorite toy can be an enjoyable exercise. Make sure the toy is soft to avoid teeth or gum problems and, even more important, make sure that the dog knows the "leave it" command so that it will let go of the toy when you give it the "leave it" command.
One of the instinctual habits dogs have developed is the ability to weave in and out of trees while chasing its food. Use a few new plungers adhered to your wood or tile floors and teach your dog to weave his way in and out of the plungers. Start slow and over time you can graduate your dog to even faster weaving speeding skills.