Here's an interesting article by Gary Taubes, a science writer. The article is quite pessimistic about exercise, as he concludes that exercise is generally ineffective for losing weight.
I have to disagree with his conclusions. First, the exercise programs he uses as examples are not ideal, as the programs lack intensity. He talks about how subjects training for a marathon generally did not lose weight. This is no surprise to me, as it is a misguided notion that being able to run a marathon means a person is in good aerobic condition.
Second, what about all the success stories out there, of people who are overweight getting into shape? Certainly, exercise worked for them.
Third, he doesn't mention anything about weight training. Weight training is important for maintaining lean mass and the metabolic rate during aging.