My favourite form of exercise is dance classes. You can pick from lots of different styles: jazz, tap, modern, flamenco, burlesque, ballet, and many more. Some are great for posture and grace (ballet), some will help with your cardiovascular fitness and give you a great workout (jazz and tap), or you could pick one so that you can learn more about the culture of another country (flamenco, Egyptian belly dancing).
I get easily bored running or working out in the gym, so I've found dance to be a really good way to get fit, and have fun at the same time.