This article in the Dallas Morning News explains a lot of what I believe.  Exercise alone will not guarantee weight loss (except perhaps for Michael Phelps).

Michael Phelps

We must change what we eat.  Not starve or deprive ourselves, but change WHAT we eat:

“I thought, ‘OK, I can do this. All I need to do is go exercise,’ ” recalls Wildberger, a 48-year-old Allen mom of two. “I play tennis, but I thought if I got a personal trainer, I’d be able to lose weight.”

After three months of dedicated, regular exercise, she saw no real movement on the scale…

Once she realized it wasn’t working, she told her trainer she was going to start a fasting program.  “He said, ‘Wait a minute, don’t do that. Why don’t you go see our nutritionist here?’ ” she recalls.

With skepticism, she agreed to meet with registered dietitian Summer Lamons, who devised a reasonable eating plan.

“I started changing little things in my life regarding the way I ate,” says Wildberger, who would opt for, say, grilled vegetables instead of rice and beans at a Mexican restaurant. “All of the sudden, the weight started coming off.”

Wildberger has since lost 37 pounds, just a few shy of her goal of 154.