My Asthma doc is all for exersize as long as I'm sensible about it. He prefers that I not walk outside if it's really cold unless I wear something over my mouth and I hear that swimming can be a great way for asthmatics to get in a good workout.
I'm a die-hard when it comes to work-outs so my doc actually tries to tell me to slow down a little cause I do end up causing myself some trouble after trying to run. It's very good for your lungs and gives them strength. Good luck!