The by-now common sense view that exercise delays the onset of many diseases including Alzheimer's has been supported by a study in the latest edition of Neurology (1). 64 people without dementia were compared with 57 people with early onset Alzheimer's disease. The exercise capacity of subjects was assessed (using a measure of their use of oxygen) as were the brain volumes of the subjects. Essentially the results showed that if a person had Alzheimer's and didn't do very much exercise, their brain volumes were smaller than someone with Alzheimer's who did a lot of exercise. In the people without dementia this didn't seem to hold true i.e. exercise didn't seem to be related to brain volume. The conclusion was that if your going to get Alzheimer's, you'll probably have a better prognosis if you do more exercise. Why? - because having a larger brain volume gives you a better prognosis. So the evidence piles up in favour of us doing exercise!
(1) Neurology. Cardiorespiratory fitness and brain atrophy in early Alzheimer Disease. Burns J et al. 2008. 71. 210-216.