Why is it a great writing exercise? For the most part whenever you write you're exercising, but in a journal you write about the way you feel. Learning how phrase an emotion is the essence of writing. Now, the most common excuse I hear from people who don't keep a journal or have one and just don't write in it is they don't have the time. It just so happens that's the exact same excuse I hear from people who don't finish their stories. In turn, if you can keep a journal than you can finish a story.
Autobiographies, most people don't read them for fun, but they are used for research papers and history. The Diary of a Young Girl by Anne Frank is well known example. Now someday in the faraway future when you're old and decrepit and wanting to write about your life story don't you think that would be a lot easier if you had your journal for reference, instead of having to dig up old family pictures? Even if you don't want to publish your life, it would be nice to have those memories to look back on.
I've completed two journals and I'm on my third, and I'll tell you from experience that journaling has helped me become a better writer in more than one way. So start a journal today, you don't have to write something book-length everyday, just a few paragraphs every other day will be just fine.