The cholesterol can be separated into several different components. The most important is high density lipoprotein or just HDL for short. Studies have proven that the higher the percent of the HDL component, the less chance a person has of having a heart attack. The HDL tends to act like a scouring pad by removing the plaque as it forms. Not only does exercise lower the total amount of cholesterol, but it substantially increases the HDL cholesterol.
Exercise also reduces the amount of triglycerides which is another fat in the blood.
High triglycerides are also considered a risk factor, so you want that to be low. Stress and anxiety are considered to be important risk factors. Exercise acts like a tranquilizer to reduce stress and anxiety. If you ask people why they run, they will almost invariably say because it makes them feel good. It simply makes you feel better by serving as an outlet for stress and anxiety.