A really good article in the New York Times explaining why exercise alone will not help you lose weight: http://well.blogs.nytimes.com/2009/11/04/phys-ed-why-doesnt-exercise-lead-to-weight-loss/
I, however, believe that not only can you not lose weight by just exercising, but that you can not lose weight by just dieting only as well. You need to do both.
Another interesting factoid. According to the article exercise alone won't help you lose weight, but it will help you maintain weight once you've lost it.
When I was in my late 20s, early 30s, I used to do four or five very tough aerobics classes a week. I lost maybe 5, 10 pounds but that was it. I do think, though, that exercise is crucial in maintaining lost weight and improving health markers generally.
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