I have to say cycling, which I got into seriously this summer as part of a fundraiser for the Leukemia & Lymphoma society, has been absolutely the most effective exercise I've ever done. I've ridding two centuries now, and ride 50-150 miles per week on the road, plus a few hours every week or so on mountain bike trails near my home in Marin, and it's gotten me in fantastic shape.

I've been a walker, hiker and snowshoer - and occasional skier - for years, and while those have kept me reasonably fit, none have done it as quickly and effectively as riding the bike.

That said, to go back to the original question, it may not be the most bang for the buck (walking and calisthenics no doubt are), but a cheap garage sale or Craigslist bike can get you going pretty cheaply. You can also use it instead of the car for nearby errands and trips - a double bonus.