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Convincing epidemiologic evidence currently exists for an association between physical activity and the prevention of colon and breast cancer. Physical activity may also reduce the risk of cancer at several other sites. With increasing research on this topic, it is apparent that studies of physical activity and cancer have numerous methodological similarities with studies of nutrition and cancer. Lessons learned from nutritional epidemiology that can be applied to studies of physical activity and cancer prevention and recommendations for future research are discussed in this review.