Exercising outdoors is the only way for some people. If this is your main mode of exercise, try to stay off of high-traffic roads. A recent study from the University of Queensland (Brisbane, Australia) found that exercising too close to traffic can actually increase your risk of cardiovascular disease. When you exercise, you are breathing more heavily, and these deep inhales are bringing more toxins into the lungs.
There’s nothing wrong with exercising outdoors. Try to stay off busy roads, exercise early in the morning (fumes are not as bad at this time), or even shun roads all together for a park or nature trail.