This is by no means intended to serve as an exhaustive answer to your question, but I thought I'd post it neverthless:
http://well.blogs.nytimes.com/2009/1...oost-immunity/
From the studies cited, it sounds like "casual" regular exercise generally boosts your immunity, while extended, intense exercise actually lowers it, at least temporarily.
That said, there's far more to health that our suspectibility to colds and the flu, as serious as they can sometimes be. My mental health, for one, depends on regular exercise. And let's not even talk about my heart. I also firmly believe that if I have any hope of remaining vital and active as I age, I have to exercise now.