There are some great exercises that involves using plenty of oxygen.

The treadmill is ideal to improve your cardiovascular fitness, as well as your running endurance.

But the exercise bike and the rower are perfect for those who aren't too keen on running.

The treadmill
The classic way to improve cardiovascular fitness

Rowing machine
James Cracknell on one of the toughest fitness machines in the gym

Exercise bike
The perfect cardiovascular exercise for those who aren't keen on running

Skipping
One of the best ways to improve speed, balance and co-ordination