Try meditation. It's as simple as focusing your attention on your breathing for 15 minutes. Your mind will wander and you'll have to vigilantly refocus on your breathing. It shows you just how disjointed and fragmented your mind can be.
It's kinda like mental exercise, actually, and like the physical variety it's good for you. In fact most major religions incorporate meditation, even if most don't call it that. Focusing on rosary beads, saying prayers, etc. - it's all just forms of meditation, of focusing your mind on one thing rather than letting it wander aimlessly.
You can also read up on eastern religion & philosophy: Buddhism, Taoism, Shinto, Confucianism, etc. These "religions" tend to have a strong focus on the spiritual / mental well-being, rather than on policing peoples' bedrooms, like certain religions we have here in the west *cough cough*.