PATIENT CHARACTERISTICS: Age: Over 18 Performance status: ECOG 0-1 Life expectancy: At least 4 months Hematopoietic: Not specified Hepatic: Not specified Renal: Not specified Cardiovascular: No venous thrombosis No congestive heart failure Other: Able to participate in exercise program for 1 hour, 3 times/week No physical handicap that precludes aerobic or resistance exercise No clinical abnormality that renders exercise a risk At least 1 month since strength training of 3 hours or more per week No physical or functional obstruction to food intake No uncontrolled emesis greater than 5 episodes/week No diarrhea greater than 4 stools/day intractable to antidiarrheal medication No IV hyperalimentation No contraindications to megestrol No dementia or mental incompetence No known AIDS Not pregnant or nursing Negative pregnancy test