An exercise dumbbell includes a handle member and weight plates maintained in spaced relationship at opposite ends thereof. Weight selectors are rotatable into and out of engagement with different combinations of the weight plates to secure a desired amount of mass to the handle. The weight selectors occupy respective upwardly closed notches in the weights to secure the weights to the handle member. Different arrangements may be used to bias the weight selectors toward desired orientations relative to the weight plates, and/or to lock the weight selectors in desired orientations relative to the weight plates.