As a writer, I enjoy writing exercises, story sparkers, and fiddling around with structured forms. They're a different way to come at the creation of a tale; they change up your routine; they even force you to do problem-solving when you're trying to fit disparate pieces together. In sum: they're good for your brain!
Here's a self-designed exercise I like to use. Nothing too fancy, just a structure to eke out a plot:
The Wordhop - come up with a list of words through whatever means you like. 15 - 20 is a good starting point. You could poll your friends for favorites (... some of you may have seen me do this). You could an entire list of words that start with the same letter. You could browse the various dictionary sites and grab their word of the day for a week, though see my caution below. Jumble the list.
Then ... well ... you start writing. In the first hundred words, incorporate the first word on your list. The second hundred words should contain the second, and ... you get the idea. The words don't have to be equally spaced out; that's a way to make yourself crazy. My word processor has a running tally, so it's easy to keep track.
When you run out of words, keep writing as much as you need to finish the story at hand. (You could try "expert mode" where the story has to end where the words do; being a long-winded sort, I've never done this.)
Tips on the words - you want them to be interesting enough to require some thought to incorporate, but not so weird that they stick out like a sore thumb.
Proof of concept: Saplings (Mindflights, July 2011), in which the list of words was based on the letter H, as was the name of the protagonist; The Winter Queen (Golden Visions 2010).
Here's a couple more I've played with ...
Sentence String - this time, the starting fuel is a list of random sentences. 5-6 is a good number. I've polled friends or chosen randomly from books / trunked stories. Tense and pronouns can be changed, but otherwise, the sentence should remain intact. Play with the sentences; shuffle them around until connective threads start to suggest themselves.
Proof of concept: ... nothing published to point to, because these invariably run untenably long for me. Can't promise the same thing won't happen to you!
Picture String - using a randomizer on an image site, pick 5-6 pictures. In this case, they stay in the order originally generated. Now I admit, I had the most success with this when the art venue Elfwood was young: it was relatively easy to get a sequence of good quality fantasy art. Depending on your source, you may want to throw out things that just don't fit. You have two options from here: build the plot as a line from picture to picture or start with whatever concept / thought pops into your head with the first and dive in, changing pictures as the mood strikes.
Proof of concept: my very first publication - The Dreamweaver's Dispute (Leading Edge).
Finally, a plug: I love the book The 3 A.M. Epiphany by Brian Kiteley. Besides being full of fun and engaging prompts, it's the only exercise book I've worked with where the majority of exercises can easily be worked in a secondary fantasy concept. Too many exercise books have very contemporary prompts; they can be converted, but sometimes that takes the spark out of the prompt.