We don't have sidewalks where we live, but we have a huge backyard and woods behind that. We do our walking there twice a day for about 30 min. each time. They also run and play in the yard several times a day. I have two, so they keep each other busy playing all the time also. They LOVE toys!!
Fetch is a GREAT way to exercise your dog, and you can do that indoors, no matter what the weather.
I also like to "challenge" my boys by hiding toys and having them find them. They love that game.
I also like toys that challenge them a bit. Hide-A-Squirrel is a great one!