The first and most important aspect of strong, healthy bones is physical, weight-bearing exercise. People simply do not do enough of it.  And while most exercises do provide an increase in bone density there are a few in particular that are more beneficial such as: gymnastics, dance, jumping, running and weightlifting.

Research also notes previous studies in which the benefits of exercise were achieved with less-time-consuming programs such as 12 minutes per session, three days a week. In the end, weight bearing exercise, even for just 20 minutes per day, can strengthen the skeleton significantly.
 
Physical skeletal resistance is essential for elevated bone mass. Regardless of the amount of calcium ingested, unless there is a physical need for the bones to get stronger from a stress demand, supplementation is almost useless as explained below.

The amount of calcium circulating in the blood is controlled by the parathryroid glands. Circulating blood calcium is removed and delivered to skeletal bones based on need, i.e., physical stress causing the bone to adapt under mechanical force. The specific mechanism that increases bone density is labeled the piezoelectric effect. Osteoblasts (bone building cells) are attracted by electrical dipoles produced by the piezoelectric effect, from stress on the bone or outside electrical stimuli, which in turn deposits minerals (calcium primarily) on the stressed side of the bone. Therefore, exercise stimulates bone cells to use calcium and increase the density of the stressed bone.
 
While bone density can improve at any stage of life, the most critical time is during the pre- and early-pubertal periods. Regular exercise for children is the key to developing healthy bone structure and long-term injury prevention. Younger children and teens need at least an hour of physical activity every day that includes strengthening exercises. Adults should get at least 30 minutes of moderate physical activity every day.