Remember, though, there's no such thing as a magical excercise. If you really want to build up speed, you could do it by just practicing alternate picking chromatic scales. It will make you fast if you do it a lot, but don't devote all your practice time to it. I know too many lead guitarrists who don't know anything when it comes to playing interesting chords, or improvising over dynamic harmony. They can play scales fine, but when it comes to making music, they are deficient. Finger excercises should be one facet of an overall practice regimen, not the focus. But, as for specific excercises, here's one that will get you good at crosspicking across strings
DO NOT SWEEP THIS
-------------------------4--5-------------------------
----------------4------3------4------5----------------
-------4------3------2----------3------4------5-------
-----3------2------1--------------2------3------4-----
---2------1--------------------------------2------3---
-1--------------------------------------------------2-
This will get you good at alternate picking in a way that picking up and down scales won't, because it gets u good at picking across strings, whichi s the hardest part of alternate picking. You could sweep it too, but that's a different excercise, and a less useful one in my opinion
Whoops, the last arpeggio looks like a chord, but its an arpeggio