It's the endorphin kick. Personally I hate running, but high-intensity exercise like karate does it for me. During it I'm not at all relaxed, but I can forget about all my other worries and just focus on the next punch/kick. And just afterwards I'm usually so relaxed I can barely get up.
drawing, painting, playing the piano, working out, playing pc games... sometimes i go to a sculpture class for 3 hours at a time.. but I haven't been there in months. A cup of coffee and quiet time to think is also a good way to relax. I used to do more things to relax, but now I seem fixated on working 24/7. Sometimes all I do is program,SEO, SEM, manage and then sleep.
Depending on the degree of exhaustion. When I am physically exhausted, I just feel like lying on bed and have a good deep sleep. If I am mentally exhausted, I will play some games or listen to the music.