I feel better when I exercise. Physically and mentally. I went through a bit of depression a couple of years ago, and one of the ways I cured it was through exercise and taking care of myself (of course that was coupled with medication prescribed to me by my doctor). I am no longer on the medication and am healthier and happier than I have been in at least 15 years.
I was also gaining a bit of weight during my depression. I went up to 145 lbs (I am 5'4") and I could see myself getting unhealthy and I wanted to do something about it before it got completely out of control. I am now 127-130 lbs (depending on the week - that is just an estimate, as I don't regularly weigh myself any longer) and I feel so much better about myself.
In short - for me, I do it because it makes me happy.