Weight lifting is an examle of anaerobic exercise.  This type of exercise strengthens muscle.  With anaerobic exercise, you can also "tone" areas of your body where fat is stored, such as your tummy or hips. 

While anaerobic exercise does not directly strengthen your lungs and heart the way that anerobic exercise can, this type of exercise can help you reduce your level of body fat. 

Lower levels of body fat have been found to correspond with lower risk of heart attack and stroke, so anerobic exercise, along with diet and control of cholesterol levels, can reduce your risk of heart disease.