At least one set of weights is arranged into a stack for selective connection to a weight lifting member. On some embodiments, a vertical stack of weights is disposed beneath the weight lifting member, and at least one selector rod is rotatably mounted on the weight lifting member and selectively rotated into engagement with a desired number of the vertically stacked weights. On some embodiments, a horizontal stack of weights is disposed on opposite sides of the weight lifting member, and at least one selector rod is movably mounted on the weight lifting member and selectively moved into engagement with the desired number of horizontally stacked weights. The horizontal stack of weights may be used to supplement the vertical stack of weights, or on an independent exercise device, such as a dumbbell. On one such dumbbell, a knob is rotatably mounted on the weight lifting member and connected to the selector rod in a manner that links rotation of the knob to movement of the selector rod into and out of engagement with the weights.