As this question pops up rather frequently, let me summarize. This is my own take on the topic, as an amateur experience. I tried them and benefited greatly from them, but I am in no way an expert. Please feel free to correct or add. There we go.
Training an embouchure without sax is often seen as a shortcut if you have little playtime on the sax. Actually, these exercises are crucial if you ever think about playing seriously. The embouchure is everything. It makes the tone and the intonation. So in order to develop as a player, you have to train your embouchure.
Yet, there is one important thing to remember : There is no shortcut. Developing an embouchure always takes time, and always takes work too.
This said, another important distinction has to be made. As a beginner or returning player, you want to train your embouchure muscles to build up endurance. Like fitness for a football player essentially.
But as you progress, it is even more important to train your embouchure technique. I believe firmly that the best way for developing full control over the airstream. I should clarify here that I use the term embouchure actually in a broad sense : not only the lip position, but the whole mouth cavity and throat included.
1. Muscle training
If you want to train endurance, there are a number of options that are suitable in different places and situations.
The doo-wee exercise
It sounds stupid, but it is actually pretty effective. Basically it involves saying "doooo" with exaggeration, pushing your lips forward. Then "weee", again with exaggeration. Repeat ten times at least.
The pencil exercise
put a pencil in heach corner of your mouth, just holding it with the lips. Make sure they're more or less horizontal. Keep them that position by pressing with your lips, and breath out by blowing the air through an opening between your lips in the middle of your mouth.
You can do the same while playing sax too, but I never tried it.
With the mouthpiece
In this video and the related videos, you can find some good insights and nice exercises. Simply said : you just put the mouthpiece in your mouth and press on it at all sides with your lips. Make sure the pressure is divided evenly around the mouthpiece. Hold as hard and as long as possible. Rest.
2. Mouthpiece exercises
These are essential for your tone and intonation. If you do a search, you find tons of topics and ideas about them. There is one legendary post I discovered recently, and that has been yet another great help :
Shooshie : http://www.bobrk.com/saxfaq/2.6.html