Answer:
Set realistic exercise goals. Set goals that you not only know you can achieve, but that are specific, not vague ("I'll cycle twenty miles this week" not "I really should get more exercise this week").
Whatever activity you pursue, don't overdo it. The most common cause of injury is exercising too aggressively -- the "too much, too soon" syndrome. Start any new exercise at a relatively low intensity and gradually increase your level of exertion over a number of weeks. Use the "10 percent" rule: In general, don't increase your training load -- the length or frequency of workouts, the intensity or the distance -- by more than 10 percent a week.
"No pain, no gain" is a myth. Exercise should require some effort, but pain is a warning sign you are foolish to ignore. If you have continuing pain during an exercise, stop and don't continue unless you can do so painlessly. (If the pain occurs in the chest or neck area, you should contact your physician immediately.)