If you are a pianist, get a copy of
The Jazz Piano Book by Mark Levine from Sher Publishing. For other instrumentalists, consult
The Jazz Theory Book by the same author. These are both great resources for jazz theory and have examples, but not the exercises that you might desire. Do a web search for your instrument and modal exercises; I quickly found
http://tamingthesaxophone.com/jazz-modes for sax players. There are loads of resources for guitarists. Take a look at
http://jazzadvice.com/ Good luck on your progress!
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