Research suggests that it does. The book "Spark" by John Ratey goes into this in depth. http://www.amazon.com/Spark-Revolutionary-Science-Exercise-B...
After reading it I decided to finally get on a religious exercise schedule and I've been on it for two months. The improvements to my will-power, focus, and mood have been tremendous.
As a side note: one thing that has helped me keep up the 5 to 6 exercise sessions per week is reminding myself that I'm only exercising for cognitive and mood benefits. This helps me personally not get distracted by other factors like fat-loss, improving running times, etc. If I added other non-brain goals, then it'd be easy to get bummed out and discouraged if I didn't achieve them, so I keep my goals purely brain focused. If those other benefits happen as a result of the exercise, then great, but they are not why I'm doing it.