When I was first rehabbing my runners knees, they treated me using Kinesio taping. They basically would force my kneecap away from the side my muscles were pulling it (and thereby pulling it out of its track) and taped it in place. The tape would last for about 3 days or so, and then I'd get it replaced. The first day they did it I noticed an immediate reduction in the soreness of my knees, I thought it was great. I don't know how different my rehab would have been without it though. I used the tape for several weeks.
The tape needs to be applied by someone who knows what they're doing though. Or you will need to do research for your particular problem/area to know how to apply it. And if you have sensitive skin, the tape can get irritating.
I've never used it for casual exercise though, so I can't help you there.