Great topic. Jameson is a total punk about fetch. If we're alone in the county park he will not chase or fetch anything I throw usually, however, when we're at the dog park, he'll run like a maniac to fetch sticks, but he only gives them back about 20% of the time. The rest of the time I just grab a new stick and throw it and he'll run hard to get it and then show it to the other dogs and growl. From the standpoint of exercise, I think it's gotta be right up there... the dog is constantly running hard for the duration of the exercise. From a training standpoint, I'm sure I'm doing everything wrong, but I like it when my dog is tired.
I'm sure that Julie K would be able to offer a lot of insight on this question.