Exercising alone does not get rid of cellulite. It can help when used with other methods, such as proper nutrition, controlling certain hormones, and increasing circulation. If you are going to try other methods along with exercising, the best kinds of exercises you can do for this purpose are cardio and strength-training. 
A great strength training exercise for cellulite  :
1. Get into a standing position with your legs shoulder-length apart. Keep your back straight and point your toes out to a 45 degree angle. Grab a dumbbell for each hand and hold them at your hips.
2. Take a big step to your left. Bend your left knee so that your thigh and the floor are parallel. Keep your right leg extended. Make sure your left knee is not jutting over your toes and that your butt does not dip below your knee. Pause for a few seconds and get back into the starting position. Repeat for the right side.