I have low HDL cholesterol (usually 35-50 mg/dl), which is common in my family. What can do with lifestyle to increase it? I already exercise daily.

Diet & exercise. Moderate exercise (about 30 minutes five times a week) reduces LDL cholesterol and raises HDL cholesterol. Smoking can lower HDL levels, so stop smoking if you do. Eat lots of fruits, vegetables, whole grains and lean sources of protein. Include monounsaturated fats in your diet- olive oil/canola oil. Moderate consumption of alcohol may also positively impact HDL levels. 1 glass of wine a day.
Tweak your diet... You can eliminate the "bad" foods(things that are fried, fatty and/or "junk" foods) and replace them with foods rich in omega-3 fatty acids(like salmon, and other fatty fish) or add a supplement to your regimen. Also try to consume your fish, and other foods steamed, or boiled...Frying destroys the omega-3 so try to avoid this.
Keep exercising! Continue your exercise (minimum 40 minutes of cardiovascular, 4-5 days/week.) non-medication things to do include a low saturated fat (meat and dairy) diet, a diet rich in unsaturated fats (olive oil, etc), high fiber with lots of fruits and vegetables, and omega-3 fish oil (however, check with your doctor to make sure this is ok for your situation.).
Depends on trig's. What is your triglyceride level? If it is normal, especially below 100, and if you eat pretty well and exercise most days, then there is little more you can do to raise HDL through lifestyle alone. If your triglycerides are over 150 then there is still more you can do with exercise, decreased simple carbs, and increasing poly and monounsaturated fats. You may consider medications as well.
Lifestyle limited. As others have noted well, diet and exercise play a critical role, but are often limited since genetics plays a dominant role. Weight loss, controlling elevated triglycerides, cutting carbs and alcohol and optimal thyroid and diabetic status key. Niacin and fibrates are modestly useful drugs. Drugs like cetp inhibitors are on horizon, but outcomes data will be needed to validate ultimate role.