I know for some women, there is a conflict between looking fabulous and getting sufficient exercise. But that doesn't have to be the case. You can maintain your overall health and grow your hair if you plan properly.
Personally, I find the gym boring, so I prefer to take classes (ballet, horseback riding) or play games (tennis) to get my weekly exercise. Here are my suggestions for protective styling while exercising.
For cardio - Wear your hair in a loose high bun and secure with small claw clips. This is how I wear my hair for ballet classes and tennis. I suggest a loose bun because it will allow your scalp to breathe and the sweat to dry faster. Wait until your scalp has dried before you manipulate your hair. This way you don't get sweat running down the length of your hair.
For helmet activities (bicycling, horseback riding, etc.) - Wear a low ponytail and cover your hair with a silk/satin scarf.
My hair in a low ponytail, covered with a scarf to protect it from the helmet.
For swimming - Saturate your hair with water and cover with conditioner or shea butter. After you swim, rinse your hair thoroughly and either do a conditioner-only wash or use a gentle shampoo. Swimmers shampoo can be very harsh, so pay attention to how your hair feels after you use it. You may find that its too drying. Also, if you have the option of a salt-water pool instead of a chlorinated pool, opt for the salt water pool.
I think of my hair as an accessory that enhances my appearance. Hair should never be a hindrance to me living my life. If you have an activity that you haven't tried because of your hair, please share it below and I'll try to suggest ways to protect your hair. Health before hair.