If your interested in serrious sweep picking, any of you that consider yourselves to be pretty good, check out the sweeping lick in Yngwie Malmsteen's 'Far Beyond The Sun' at about 1:06... I've been working on this song for a while and those sweeps are pretty damn hard.
In regards to sweeping exercises, just make up your own... if you know any theory, its relatively easy. Take your basic scale shapes, find some chords that you like and see what kinds of sweeping arpegios you can make out of them...
You could always just learn songs / solos with lots of sweeps in em, which is what I did... COB is great for that, just slow em down with a metronome...