I don't know any formal exercises, but there are two things I can suggest, based on the mistakes I make. 1) to write a short bit of dialog in two styles, one where the character's inner environment is stated specifically and one where it is clear from the action and words what he or she feels:
"I'm sorry, Shonda, but this just isn't working out between us."
"Why?" Shonda asked, shocked at the news and about to cry. "What did I do wrong?"
Now, to show she was sad and not angry, it is more showy to say:
"Why? What did I do wrong?" Shonda wiped a tear from her cheek.
The other exercise is to describe action as if I were telling someone something over coffee instead of writing it as if it were happening [true story from about two weeks ago]:
"I saw a cropduster over the fields, and I thought that would make some cool pictures. So I got on top of my truck and snapped some pictures. I was reviewing the pictures when lightning crackled right above me and it felt like someone was slapping the back of my head!"
Compare to:
"The stream of pesticide ceased and the mist settled on the crops. The plane roared upward to avoid the trees as I climbed onto the cab of my truck and readied the camera while the plane gamboled in the air and approached for another pass. I set the camera to video and barely kept up with the airplane in the view screen while it sprayed. Excited to see the result, I replayed the video, discouraged by the shakiness of my hands.
Crackle!
I cringed at each pulse of lightning as the hair on my neck stood on end and an invisible hand swatted the back of my head.
"Shit!" Flight instincts in full throttle, I jumped to the ground and squatted.
This example could be written much better, I'm sure, but the object is to remove the "coffee shop story" feel and put the reader into the action in ways he or she could imagine happening.