There are different types of exercise, and each has its own benefits for your body:

1. Range of Motion exercises: these are gentle stretching exercises which move each joint through their normal maximum range of motion.  These need to be done daily.
2. Strengthening exercises: these help increase your muscle strength, and the muscles supporting the joints.  This allows you to move more easily with less pain.
3. Aerobic or Endurance exercises:  these bring your heart rate up for at least 20 to 30 minutes, and improve your cardiovascular fitness.  They should be performed at least 3 times a week.  (Not all arthritis sufferers are able to perform these exercises, especially those with long term Rheumatoid Arthritis).