One of the big enthusiasts of exercise is Maimonides. Good health, writes Maimonides, is a prerequisite for mitzvah observance. He promises that anyone following his health program — which includes vigorous daily aerobics — will enjoy good health.
So your parents are right. You should exercise.
But even if they're wrong...You should exercise. You see, your parents gave you life. They fed you. They changed your diapers. And even now, look how concerned they are about you! Who else would 'nudge' you all the time to exercise!
Although you may be in good physical shape, your attitude towards your parents seems a bit 'flabby.' Honoring parents is not only in the way you act and speak towards your parents. It's also in the way you think about them. In your eyes they should be like prestigious dignitaries.
When the Torah says to honor your parents, it's not talking about some Biblical parent who lived in ancient times: It's talking about someone who may be sitting in front of the TV with a beer and a bag of potato chips! That's the person you're supposed to honor!
There's a very important point to realize here. When a child is trying to become observant, it's natural that parents will be extra sensitive to any of his objections. They may perceive such objections as a revolt against them. Therefore, it's especially important that you try to compromise as much as possible (within the guidelines of Jewish Law — e.g., Shabbat, modesty, etc.).
When you listen to your mom and dad, they will see in you a son whose Torah values teach him to respect his parents.
By the way, working out with treadmills and weights isn't supposed to be interesting! (Maybe that's why they're called 'dumbbells.') Listening to music can make exercise easier. Or try something fun, like racquetball or Frisbee. I'd like to write more, but I've got to run...I have a court reserved for my daily squash game, and I can't keep my partner waiting! (He's also a Rabbi!)
So if till now your favorite exercise has been jogging your memory and climbing the walls, maybe it's time to start bending over backwards and jumping on the bandwagon!