The returns to exercise seem pretty small

From the Washington Post

People who engaged in moderate activity -- the equivalent of walking for 30 minutes a day for five days a week -- lived about 1.3 to 1.5 years longer than those who were less active. Those who took on more intense exercise -- the equivalent of running half an hour a day five days every week -- extended their lives by about 3.5 to 3.7 years, the researchers found.

Suppose one exercises at the moderate level:
per year that is 130 hours = 52 (weeks)*5 (days)*.5 hours
over 50 years that is: 6,500 hours

There are 5,840 waking hours in a year. 8,175 over 1.4 years. At any reasonable interest rate, in terms of purely longevity, there is a strong negative return to exercise. For this to pay off, one must really enjoy the process of exercise or that it greatly improves the quality of life.

Beyond all that is the issue of the type of people who exercise. My guess is that the people who exercise generally tend to be more educated and have other characteristics (e.g., being married because they take care of themselves) that are associated with longer life expectancies. There is no mention that the study controls for such factors as income, education, and marriage.