I was just reading this piece in the NY Times about exercise and maintaining bone mass:http://well.blogs.nytimes.com/2013/08/12/building-up-bones-with-a-little-bashing/
It says, among other things, that bone mass is better maintained and strengthened through non-static movements like jumping rope or tennis than by things like swimming or walking.
I got to the end and found one of my favorite activities listed and I wanted to recommend it to others: social dancing. I play in several traditional dance bands. We play waltzes, English Country, and contra dances (which are similar to square dances). All the venues we play at also have swing dances and often salsa.
Contra and English Country dances are taught at the beginning of each dance. Beginners are ALWAYS welcome. They are pretty cheap ($5-$7 is pretty standard - are even high). It's 3 hours of intense aerobic, cognitive, and social exercise with breaks every ten minutes and refreshments in the middle. You meet nice, if sometimes eccentric folks. You can find them almost anywhere in the country, although the Northeast and Northwest are the biggest centers. (I'm in the Cleveland area - if you're near send me a note and I'll send you a link to a schedule.)
And it is HARD WORK. Every time I dance instead of play I am amazed at how much exercise it is.
My parents square danced several times a week for most of their adult lives and it kept them in good aerobic health, if not thin. And my mom wondered aloud when she last visited at how much thinner all the folks at the dances were than most folks she saw walking around.
Other suggestions for good fun exercise that isn't going to the gym or walking? I walk every day and do machines when I have to. But I'd much rather do something I love. Unfortunately, we've moved from the water and I can no longer kayak.