Steady, aerobic exercise causes your blood glucose to decline, however, non aerobic exercise will cause your blood glucose levels to rise.
I found when I started going to the gym, I was doing all the aerobic stuff 1st, then was finishing up with the weights and stuff and often my BG could be higher than when I started! By changing my exerise routine around, mixing the aerobic/non aerobic stuff up and doing slighlty more of the aerobic rather than the 50/50 split I started with, I managed to maintain much better control and generally came out slightly lower, even when turning my pump off for the hour I was in the gym.