My all time favorite writing exercise is titled Revelation. It is simple and it is complex. It can be used individually or in a workshop or therapeutic setting. I have used it personally to understand my characters issues in more depth, and found that many times it led to entire chapters I didn't know existed before beginnning the exercise. When used in a workshop or therapeutic setting, I begin by asking my audience to write down a secret they have never shared before on a small piece of paper. If they can't think of a secret, they have the freedom to make one up. This is all anonymous.
After finding their secret, and writing it down, they fold up the secret, and I pick them up in a big pottery bowl. After a bit of a display of tossing and mixing the secrets, I walk around the room and let each participant choose a secret (it cannot be their own). Then, the writers are asked to tell the story of the secret they have chosen.
It is a effective jumpstart into a story because it begins with a secret, and a secret many times implies shame which carries enormous emotion and tension. After writing their secret's story, the participants read and share what they have written. Many times in this process, the secret owner is greatly moved, and drawn in compassion toward the writer who adopted their secret; other times the stories elicit belly laughs from all involved.
I've used this with professional writers, writers-in-process (I hope we all are.), college students, high school students, and middle grade students. Most recently, I incorporated the exercise into a narrative therapy "Word" group at the Covenant House, a homeless shelter for young adults.