Exercise has been long regarded as an effective way to counter the blues, stress, and anxiety. There seem to be many benefits including increasing socialization, improving our body image, increasing endorphins, and working off some of our adrenaline and tension.
Turns out, exercise also changes the brain. Researchers at Princeton used an animal model of exercise to measure neurons in the brain. After 6 weeks of exercise, the "running mice were more willing to cautiously explore and spend time in open areas, an indication that they were more confident and less anxious than the sedentary animals." When the animals were put in stressful situations, the running mice calmed much more easily after the stress than the sedentary mice.
When they examined the brains of the "running mice," they determined that there was an increase in neurons that produced GABA, a neurotransmitter that calms down brain activity. This neurologic activity may be true in humans as well! Another reason, to get some physical activity as part of a healthy lifestyle.
link to New York Times article and original scientific article in the Journal of Neuroscience