I have found that taking (thai) boxing has really raised my self-esteem. I feel good because not only am I working out but I'm gaining muscle, exercising/interacting with friends, and setting a good example for my son.
We just added a punching bag to the basement, and I look forward to getting down there and relearning some of the kick and punch forms I practiced years ago in Tae Kwon Do. (I had a pretty mean roundhouse kick!) Boxing a bag, I agree, is a great way to strenghthen the body, and is also good at relieving stress.