My BG definitely goes up during intense exercise (sometimes as much as 30 to 50 mg/dL), and then can drop low after I'm done. I think of this in terms of what others have said: cortisol and adrenaline are released due to physiological stress and BG goes up quickly; after exercise, hungry muscles soak up all the free blood glucose they can get, and my BG drops quickly.
The trick for me has been getting the timing right on treating the moderate lows I get from endurance sports and exercise. I have yet to go skiing this winter because I'm concerned about the lows: hiking and cycling have gotten me into the low 50s, and although I've got the solution figured for those activities, I'm not sure what I'll need to do for skiing. But, hopefully next week I'll take the dogs and the skis and my meter and some quick carbs out to the trails and find out!