If you have asthma, especially if it's exercise induced asthma (EIA), you definitely don't want to skip out on exercise altogether. Regularly working out, the kind that gets your heart pumping and your lungs working quickly, can actually relieve asthma symptoms. Huffing and puffing can get mucus out of your lungs, and help you take deeper breaths.
What you don't want to do is interval training. Whether you're running, hiking, biking, swimming, rollerblading, or whatever, you don't want to push yourself as hard as you can - you may end up having to stop altogether because you can't breathe.
Instead, try to stay at a consistent speed that's fast enough to be breathing heavy, but not so fast that your chest hurts because your airways are constricted. You can definitely do short spurts of working a little harder, but just be aware of your breath, and work at a pace that your lungs can keep up with.
If your asthma symptoms are triggered by seasonal allergies, you may want to exercise indoors. You can also talk to your doctor about certain allergy medications that may be geared toward helping asthma symptoms, such as Singulair. Also, if you have a rescue inhaler like Albuterol, you may find that it helps to take a puff or two about 15 minutes before you exercise outside.
Fit's Tips: Make sure you have water and your inhaler near you while working out. If you do start to feel that tightness in your chest, and are having a hard time getting air in and out, STOP what you're doing and focus on taking deep long breaths to calm your body and mind. You can often prevent an attack just by concentrating on inhaling and exhaling slowly, and taking small sips of water. If that doesn't work, definitely take your inhaler. After 5 minutes, if your symptoms go away, I'd go back to working out, but take it easy - you don't need to have another asthma attack.