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NancyLebovitz comments on Exercise isn't necessarily good for people - Less Wrong Discussion
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It wouldn't surprise me if you're right about exercise being good for you, even though I can't imagine any way to double-blind exercise.
If the lecture is right, then there are a fair number of people exercise isn't good for, and a smaller number that exercise is bad for.
I'm beginning to think this is about what your priors for the effects of exercise should be. The lecture hooked me, partly because I think the culture has a halo effect around exercise and partly because if there are foods which are nourishing for the majority of people and poison for a minority, why shouldn't there be similar variation for exercise?
There no reason why you would have to double blind it to measure whether engaging in it causes you benefits or harms. It's irrelevant whether you improve your health because you think that exercise improves it or whether you improve it because of physical effects of exercise.
The problem's with self experimentation are different. Subjective ratings can be off. Then you are measuring short term effect and ignore long term effects.