I make sure I exercise every day. Like George said, I find that exercise helps more with anxiety than with depression...and it helps only while I'm moving, pretty much. I know that for many people exercise is an amazing treatment for certain mental health issues. It is not magic for me, but somewhat helpful. I think what helps is just doing something.

As for exercise vs. medication, with meds I literally would not be able to exercise. I would be immobilized by depression/anxiety.