I have friends that work out religiously.  Most of them claim to experience a rush of endorphins following a run or a work out.

According to medicine.net, endorphins are a brain chemical that's released during periods of stress or pain.  They can block pain receptors and in many people, give a sense of euphoria.  (There's that natural high I keep hearing about.)

I don't exercise as much as I should but I'm not a total slouch.  I have yet to ever get giddy after a work out.  I feel like I'm being cheated.  Maybe I'm doing it wrong or not working out hard enough.  Or maybe these so called endorphins are simply made up by those that work out like crazy and want the rest of us to feel like we're missing out on something.

By the way... Scientists say the brain  produces similar endorphins after eating chocolate.  Now, THAT, I understand.