I'm not sure too many object books will have "exercises" you are expecting. The ones I've read walk you through scenarios that objects can be used in. Reason for this being that objects aren't really something that you implement once and that's the only way to use it. Objects typically adhere to patterns of some kind and good OO code can really be portable.
A good book to read is PHP Objects, Patterns and Practice by Matt Zandstra. Really that's the only good book I know of which really delves deep into Objects in PHP (although it does extrapolate into other languages).
Sorry I don't know of any exercises with objects that you can show you how they work, or give you practice. All I can say is take a piece of code (like user information, database interaction, session information, etc.) and create a class (or set of classes (abstract / interface / factory / etc.)) which does what you need it to. No class is all encompassing. No class will fit every scenario; however, you can create a base class which can be used in multiple scenarios 🙂