Conventional EEG (electroencephalography) has relied on wet electrodes which require conductive gel to help the electrodes make contact with the scalp. In recent years many dry electrode EEG systems have become available that do not require this gel. As a result they are quicker and easier to set up, with the potential to record the the EEG in situations and environments where it has not previously been possible. This paper investigates the practicality of using dry EEG in new non-conventional recording situations. In particular it uses a dry EEG recording system to monitor the EEG while a subject is riding an exercise bike. The results show that good-quality EEG, free from high-amplitude motion artefacts, can be collected in this challenging motion rich environment. In the frequency domain a peak of activity is seen over the motor cortex (C4) at 23 Hz starting five minutes after the start of the exercise task, giving initial insights into the on-going operation of the brain during exercise.