A recent study on martial arts concluded that participants benefit from improved mental faculties, particularly improved attention span and alertness. (It's a good thing I train. I'd hate to see what my attention span would be otherwise.) Article:
I highly recommend reading this full article on their research. Here is it's conclusion: "While it could be argued that martial arts simply are among many activities that can lead to better health, what we and other researchers have found is that their practice is one of those rare crossovers that helps significantly improve the brain just as much as the body."