Heavy alcohol drinkers are more likely to display damage to their brains' white matter. Exercise, we know, helps the brain. A study recently showed that heavy drinkers who regularly exercised showed no link between drinking and brain damage.
However, the people who conducted this study warn that it doesn't give people a license to drink. Drinking damages other organs and they also warned that they need to study subject in the future to make sure there's no long term damage.