Well, in the world of technical exercises, most are just boring. I've gotten quite tired of going up and down the chromatic scale, or going up and down in modes one note at a time, in groups of three, 1, 3, 2, 4, 3, 5, groups of four, etc. and I'm looking for some new ideas. The main thing I'm looking to develop currently is good alternate picking. I can play 180+ bpm 16ths legato, but when I'm alternate picking I can only do 100-120 and stay in time.

One exercise that's not incredibly boring (yet) is to play all the modes, 6th string root, 3 notes per string patterns up and down the fretboard, but it's starting to get old.

I like the intro riff to Malmsteen's "Deja Vu". It's pretty straight alternate picking at first, but it's a bit tricky when it starts to pedal.

What're your favorite exercises (or riffs) to play, and what do they develop?