If you look at this in the context of insulin resistance - then various "inflammatory" states e.g. lupus, RA are associated with increased insulin resistance and raised crp. Exercise is known to improve insulin resistance so it may be exerting it's beneficial effects via this route - though it's not altogether clear if insulin resistance causes inflammation or the other way round.

There has been a lot of literature on this in the last few years. As David mentioned above the interpretation can vary depending upon which cytokines you are considering. Much of the research has focused on the secretion of IL-6 from contracting muscles (myocytes). Intense exercise has shown to have large transient increases in IL-6 and IL-6 mRNA (up to 100fold increases). Now usually high levels of IL-6 would be considered pro-inflammatory although when it occurs independent of other inflammatory factors (e.g. TNF-alpha) this transient increase is met with a compensatory anti-inflammatory response and as such increases in IL-1ra and IL-10 increase as well. Therefore exercise has been suggested to promote an anti-inflammatory environment.

In terms of the long term effects of exercise training this has had mixed results. Short term exercise training have had mixed results when looking at inflammatory markers (CRP and IL-6 are often used). The reasons for these mixed findings may be due to many reasons including exercise modality and methodological issues. Observational studies that are well adjusted for confounders (including fat mass) have found that higher physical activity levels are associated with lower markers of inflammation. There also a number of promising studies suggesting mechanisms via which exercise may exert anti-inflammatory effects (e.g. TLRs, regulatory leukocytes e.g. monocyte phenotypes and regulatory T cells). There is also the more obvious effect that regular exercise will reduce fat mass which is a major source of inflammation (e.g from macrophages resident in adipocytes)

Some papers you may find interesting:

A recent review on exercise and inflammation (Gleeson et al):

http://www.nature.com/nri/journal/v11/n9/abs/nri3041.html

My own review on inflammation, exercise and the CKD population:

http://www.hindawi.com/journals/ije/2013/569831/abs/

The 10yr follow-up study on inflammation and physical activity levels (Hamer et al):

http://circ.ahajournals.org/content/early/2012/06/28/CIRCULATIONAHA.112.103879.abstract

Depends on type of exercise; and yes, generally speaking; exercise lowers markers for inflammation.

http://www.ncbi.nlm.nih.gov/pubmed/23250821