Exercise is measured in units of "MET". A MET is the amount of energy used to sit quietly. This is approximately one calorie per kilogram. For the "standard" 154 lb male (70 kilograms) this equates to burning about 70 calories per hour while sleeping or sitting. Thus an entirely inactive day would burn 1680 calories. For a 121 lb female this is roughly 55 calories per hour or 1320 calories per inactive day.
For Breast cancer, 9 MET per week of extra exercise is considered theraputic (has a measurable improvement to survival). For colon cancer 18 MET is recommended and for prostate cancer 30 MET is recommended. [Source: "Anticancer" by David Servan-Schreiber, page 189]
My personal recommendation is perform "interval" training not aerobic training. This is documented by articles available on the A4M website and by Dr. Philip Miller in his book. The basic concept is that by repeatedly performing any action you teach your body to optimize performance for that action. Aerobic training teaches your body to optimize and make efficient usage of energy. To put it bluntly, this trains your body to store energy as fat so that it will be available when needed (to burn during those aerobic workouts). It is far healthier to do sprinting and weight training which trains your body to prepare for those emergency exertions thus building strong bones and muscles, not fat storage. While marathon runners may not be overweight, they do have a very high percentage of body fat (most people would consider this "healthy fat").
My recommendation is for exercise sessions to not last more than twenty minutes at a time. And they should consist of intense exercise mixed with rest periods.
Exercise induces a lot of oxidative stress, especially on the lungs, so it is important to consume plenty of anti-oxidants if you are an active athlete.
Additional intake, both before and after exercising, of vitamins C and E, as well as selenium and N-acetyl-cysteine is recommended (take twice as much vitamin C as you take NAC). Long ago I read a study showing that race horse performance was enhanced by vitamin E. Certainly vitamin E has had some controversial publicity (mostly because negative studies only look at supplementing with alpha tocopherols and vitamin E is actually eight related molecules), but statistically improved performance in race horses stands well above "placebo effect". Just make sure you are taking a high quality, natural vitamin E which contains natural balances of tocopherols and tocotrienols.
Exercise depletes minerals rapidly, specifically calcium, magnesium, potassium and boron.
If you desire to supplement protein, generally whey protein is recommended as the best form to consume. Most people consume too much protein already so generally whey would only be appropriate if you are eating a low protein diet and are engaged in ongoing athletic training.
To maintain joint health while exercising it would be wise to consume extra glucosamine, chondroitin, omega 3s, GLA and anti-oxidants.
Coenzyme Q10, lipoic acid and L-carnitine have not been shown to specifically enhance atheletic performance, but they do enhance overall health primarily by protecting mitochondria (the producers of energy inside your cells).
Creatine has been shown to provide clear cut performance enhancement, in some studies, for activities such as weight lifting and sprinting. Avoid excessive creatine if you have impaired kidney function.
Exercise slows aging and extends life by increasing SIRT1 activity resulting in increased number of mitochondria and improved mitochondrial function thus resulting in more celluar energy.
"Regular use of a sauna or steam bath may impart a similar stress on the cardiovascular system [as exercise], and its regular use may be as effective as a means of cardiovascular conditioning and burning calories as regular exercise." [W. Dean, "Effect of Sweating", The Journal of the American Medical Association 1981, volume 246, page 623]
The primary value of a sauna however is detoxification.