Like sleep, exercise is one of the closest things to a true panacea that exists in the world. Both are essential for your health. If you want to improve your memory, you must exercise regularly. Exercise strengthens your cardiovascular system so your brain gets more of the oxygen and nutrient rich blood it needs in order to function properly.
In addition to being essential for your overall health, exercise has been shown to specifically strengthen your memory. Aerobic exercise such as running or swimming has been shown to grow new neurons in your hippocampus, the main part of your brain that deals with memories. If your hippocampus is growing, you will have more neurons between which to create connections. These connections, then, become the pathways that store memories. If you really want to improve your memory, hit the pool or treadmill on a regular basis.