Hamsters are very active creatures and need a lot of exercise. On average in the wild they run a huge 8km a night! To provide them with the tools for this mammoth run they should be given a wheel.
There are a huge amount of wheel types on the market, many of which I have covered before. The main thing to look at is the size. For a syrian you need to aim for an 8" wheel from the beginning. Yes they are tiny when you get them as babies but they grown a lot, and to avoid upgrading wheels every month you should start with the right size :).
For dwarf hamsters I wouldn't go below 6.5" just because I want the hams to be comfortable.
These wheels are a health hazard and can cause hamsters feet, tails or fur to get caught...AVOID.
Another form of excersise is a run around ball. I personally like them because it gives the hamsters freedom without having to watch their every move. Make sure you get one large enough, and never leave your ham unsupervised. I stay in the same room but it means I don't have to watch them just listen.
Lastly is free roaming. You can do this in a safe place with your ham running free but you must supervise at all times.