Many moms have a fleet of strollers for different activities. It's easier to use just one, but it must suit all your needs. I use my Stroller Strides Fitness Stroller for everything, from exercising to trips to the mall. Since it has an infant car-seat attachment, I've used it since my baby was very small.
Some strollers are better than others for working out. Since this is your most-used baby item, it's important to get one with the most helpful features. Look for these things:
Revolving front wheel. A static wheel is great if you're moving in a straight line. But if not, you have to lift the back wheels to turn. Swivel wheels strain wrists less because you can turn the stroller with one hand. A good model also locks.
Adjustable canopy. Most strollers have canopies, but many are not fully adjustable. Depending on the position of the sun, you'll want to be able to pull the canopy partially or all the way down.
Padded harness. For baby to have a comfortable, enjoyable experience, look for padded straps. You can add a snuggly insert to make it even cushier for him.
Adjustable handles or appropriate height. Your stroller should allow you to walk with good posture, and not cause you to hunch over or reach forward uncomfortably. If you're very short or very tall, your options may be limited.
Lots of storage. Moms carry a lot of stuff. Make sure there are ample compartments for diapers, spare clothes, etc. and a console to hold water, keys and exercise tubes.
Shocks. There has recently been concern (but no proof) that a baby can get Shaken Baby Syndrome from bouncing in the stroller. Choose a model with shock absorbers to keep the ride smooth.
Brake. Look for strong brakes. Many moms prop their strollers against something to keep them from rolling. You wouldn't drive a car with bad brakes, and you shouldn't drive a stroller with bad brakes. A foot brake is more dependable than a handlebar brake.
Wheels. The kind of wheels you need depends on the kind of terrain you'll be covering. Most likely this will vary from rolling on a smooth sidewalk to dirt. A tire with tread better handles all terrains. A no-tread tire is better for flat, smooth roads.
Unlike high chairs, bouncy seats and play pens, your stroller can and should last you a long time. It can easily take you from newborn well in to early childhood if it is a well-built stroller. Do your research. Take some test drives and start strolling.