As part of each day, Zen students are assigned a Daily Concentration Practice. This is a helpful way to bring the awareness of zazen (seated Zen meditation) into a daily activity. In this practice, we choose something that is simple and relatively short in duration, 3-5 minutes, such as making the bed, doing daily toiletries, opening doors, etc.
Each time we engage in this chosen activity we let go of extraneous thinking - "Monkey Mind" - and simply pay attention to what we are doing. If a thought arises, acknowledge it, let it go and return to the task at hand. Obviously it's important to choose sensibly, don't start with something too complex/challenging - like performing surgery for example!
But to some degree, if we start with simple activities and practice them regularly, over time that uncomplicated and calm mind will creep into other activities in a natural, organic way.
Any exercise can be modified to include this mindful approach. The martial arts are famous for this, training to fight with great ferocity and unstoppable energy while remaining calm and undistracted. If something of that intensity can be performed in that focused way, then why can't we bring that mindset to lifting weights, running on the treadmill, or doing a particularly challenging Pilates maneuver?
In fact, Pilates is a fantastic method for Mindful practice. Concentration on the breath and synchronizing that breath with the movement, relaxed, aligned muscles/joints, close attention to bio-mechanics, flow, centering and sinking the Hara (our center of Chi, center of gravity) - all will lead to a much deeper and more rewarding Pilates session.
The other "reward" we earn when we practice and develop mindfulness is a significant, noticeable decrease in anxiety and Stress. If you can release unneeded thoughts then you won't be so attached to negative thinking/feeling. No Mind (no extra thinking) is a relief!
When the excess thought (of the past, which is past and doesn't exist anymore) and excess worry (of the future, which isn't here yet and doesn't exist yet) are released, then what's left? Just right now. All is right now and right here - all that's left is awareness of what's real and important.
So don't spend your time exercising while thinking of next month's vacation or your job tomorrow or what someone said to you last week! What are you doing now? As they say in a Zen Monastery: "Time quickly passes by and opportunity is lost".
So - Don't get caught in your thoughts, do be aware of what is in front of you and around you and IN you! Don't miss what your doing, be mindful of what you feel, be mindful of your life!