There are many types of activities to improve your fitness. The ones listed here are by no means a complete list. These are just the ones I'm interested in.
Remember, anything that gets you breathing harder and gets your heart pumping is exercise.
Cycling is becoming a more and more popular sport. It's easy on your joints, and you can also use it to commute.
Obviously you will need a bicycle. If you don't already have one go get one. You don't need to spend thousands of dollars, just enough to get a bike you are comfortable with. Expensive bikes usually offer benefits that most people won't notice. They are usually reserved for the very serious cyclists.
Go to a couple of bike stores, talk to the sales people there, and compare prices. Make sure the bike fits you. Try it out first before you buy it.
For women, get a bike seat that is specifically designed for accommodating women's different anatomy. If you're in pain you just won't ride.
If you're new to riding make sure you start in a park. There are also courses you can take to improve your cycling skills. Practice a lot before you go on the road.
Find some friends to ride with. It might be more time consuming to organize group runs but it helps with motivation. There are also many cycling clubs you can join.
Start slowly and work up to longer distances.
Other ways you can increase the resistance is by cycling up hill. Going up and down repeatedly is an excellent form of interval training. Or alternate fast and slower cycling. E.g. 5 minutes fast 5 minutes slower.
Running is probably one of the best exercises for improving your cardiovascular fitness. But it is a bit hard on the body (knees, ankles, lower back) so start slow and if you experience any pain go see your doctor.
Now, go find yourself a good pair of running shoes. Do not run in regular shoes, they are just not designed for the movement of running. You need something that provides proper support, is flexible, and has soft soles so you feel comfortable. If you are not comfortable you're not going to keep it up very long.
Decide on your route. Ideally running in a park is best but that is not always possible. If you will be running in the city try and find a route that doesn't have too much traffic. Some people like to have several different routes just to avoid boredom.
Make sure you have appropriate clothing. Winter running is definitely do-able, just dress appropriately and watch out for slippery icy surfaces.
Depending on your fitness level you can start by running just 10 minutes, then work up from there. If you are already fit start with 20 or 30 minutes and work up to a level you are comfortable with. If you're doing 30 to 40 minutes then you're doing great. If you're going to run longer than 30 minutes, or it's very warm outside, then take some water with you.
Other ways you can increase the resistance is by running up hill. If you want to make it even harder carry 2-3 lbs hand weights. However, carrying extra weight increases the risk of injury. Maybe you can alter the running rate. E.g. run slow for 2 minutes then run faster for 2 minutes, etc. Use your imagination.
Caution: listening to music with earphones makes the time go by faster, but be careful of traffic and other dangers. You now have one less sense to warn you of danger.
Swimming is another one of my favorites. If you live in an area that has swimming pools then this might something you should consider. It is much easier on your joints than running or cycling, and is really good for fitness. The only draw back is that it is not weight bearing so it will not provide any benefits for strengthening bones.
Obviously doing lenghts is the best way to train. Use which ever stroke you like, try and keep going for about 20-30 minutes. Interval training is also great while swimming. Some people who can not swim may choose to run in deep water. To do this you need a belt that keeps you a float. The action is the same as running on pavement but without the impact. By increasing your speed you can get a really good workout with this method.
Triathlons are the ultimate in fitness. They are hard but they are also very rewarding. You can find ones with very short distances, called sprints, e.g. 0.5km swim, 10km ride, 2km run. Or you can do an Ironman which is 4km swim, 180km ride, and 42km run (full marathon distance).
Obviously to do a triathlon you need to be proficient in all 3 events. Most triathletes, when first starting out, are really good in one of these events and have to train considerably to become efficient at the other 2 events.