Apparently, aerobic exercise has been shown to have a positive effect on mental performance: http://well.blogs.nytimes.com/2009/09/16/what-sort-of-exerci...

I don't know of any studies showing that anaerobic (e.g. weight lifting) can have a similar effect.

My ideal workout regimen would incorporate both. My actual regimen is just going for a 10 minute walk then coming back to read HN. Damn you HN, why are you so interesting!