Great thread! I've though about this before too. Is there such a thing as exercise therapy? There totally should be, it's helped me immeasurably.
For me, lifting weights has always been my form of calming meditation. I've always thought of meditation as just purely living in the moment, not thinking about your job or your finances or any other of your problems, it's just focusing on the hear and now and just being and breathing. So when I go to the gym, I just focus on my breathing and the weights, and everything else fades away. When it's been a while since I've been able to do that, I get totally stressed out and irritable, and I can't sleep nearly as well.
The other thing I do is play team sports, which has been positive for me in so many ways. I started by just playing pick up, which besides the challenge of playing a brand new sport, involved trying to succeed socially in a totally new environment of people who mostly knew each other. Coming out of that successfully (in terms of playing the sport well and interacting socially) was a huge confidence builder for me. And it's another way to just be, your whole mind and body turns into a thing of action, like an animal in the wild. It's such an exhilarating feeling to just sink into that zone on a regular basis! And you also get in ridiculously good shape. I don't mean good shape like being strong, I mean being able to charge up 3 flights of stairs two at a time and not even be slightly winded. That's a great feeling too, it makes you feel really alive. Of course, if I had no athletic aptitude and no desire to get in shape, things might not have faired so well.
For me athletics are the starting point for everything positive in my life. Without them everything else seems to fall to pieces, I get totally negative, and I can't do anything well. With them, it's like I'm charged with energy and everything I do is permeated with a positive energy that cannot be stopped.
It also makes me want to eat the right foods, because I know I need to do everything right to perform better on the field and in the gym.
In contrast though, I had a girlfriend who played sports with me, and she had a lot of mental problems. She was never diagnosed, but I would say she was verging on manic depressive, and definitely had severe insecurity problems. For her, sports would really make it worse because she couldn't stop torturing herself about how badly she played. She would go for a while and then get totally turned off, thinking she sucked and berating herself afterwords for hours about how bad she was, until eventually she'd just stop going. Basically she was totally unable to let herself have fun with it, which I might add, was the way she was about everything else in life. So I guess it wasn't really very therapeutic for her.
Again, great topic. I look forward to everyone else's replies!