Good question! Most studies look at high-density lipoprotein (HDL) in conjunction with low-density lipoprotein (LDL) and, in particular, their ratio. Taking HDL in isolation, exercise produces best results for HDL if regular, vigorous and for at least 30 minutes, three or more times a week. A very nice article can be found at the Mayo Clinic website:
http://www.mayoclinic.com/health/hdl-cholesterol/CL00030
Among medications, niacin at a dose of 1 to 3 grams/day, raises HDL cholesterol. Statins (like Lipitor, Crestor, Simvastatin, etc) also have a small effect on elevating HDL cholesterol. Statins' value is in their overall effect on both components of cholesterol and on triglycerides. It is important to deal with lipid metabolism as a whole.