The biggest mistake people make when entering into an exercise program is hammering away too heavy, too fast. If you haven't worked out in a long, long time...ease yourself into it! Go for PERSISTENCE! Find activities you know you will stick with "most" days of the week, start out doing 15-20 minutes of light-moderate activity, and after 4-6 weeks gradually increase the duration and intensity of your workouts. If you feel like you need to workout super-hard, and really long, you won't stick with it; (you're also more likely to injure yourself and be unable to workout at all!)
You should not get "stressed" out over working out. It should be a "stress-reliever!" Hey, when done properly, you may even start to look forward to it!!
Few Basic Principles of Exercise:
Warm-Up: Warming up is VERY important! Most people want to jump in and start working out...ALWAYS do 5-10 minutes of light activity, usually mimicking the activity you will be doing; walking, swinging your legs, jumping jacks, moving your arms (you can do movements you will be doing resistance training movements with NO weights)
NEVER stretch cold muscles! I always see people stretching before they run or get on a machine..NO! Always warm-up first, you can do some dynamic warm-up movements, get your body temperature elevated and then stretch AFTER you perform the exercise. If you put a rubber-band in the frezer and stretch it, it will break. If you warm it up and ease it into the stretch it will stay in tact.
When weight training, stick with lighter weights in the beginning, where you can do 10-15 repetitions. Start our doing one set of 6-8 exercises (1 for each muscle group).
Do activities that you will stick with MOST days of the week. Putting too much pressure on yourself will lead to program failure.
STRETCH--don't skip the stretching & cool-down phase of the workout. At the end of your workout spend 10 minutes stretching and cooling down. Hold movements for AT LEAST 15 seconds to make it count! This is KEY to avoiding injury and gaining results!
Seek out the advice of a PROFESSIONAL! Another big mistake people make are mirroring what they see other people do. A lot of times the person you are watching may have no idea what they are doing....or it may NOT be appropriate for you! Just because they look good does not mean its right...Everyone is different, and you need to get into a program that in unique to your individual needs. Some fitness clubs offer a free orientation with a trainer, you can get some fitness testing done and find exercises that will meet your goals.
Educate yourself, seek advice on professional certifying agency's message boards, like the American Council of Exercise (ACE) or web communities like Wellsphere; there are certified trainers and professionals on there that can answer your questions. Become familiar with proper form, warm-ups, cool-downs and stretching techniques